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Just Over 75bps Of ’24 ECB Cuts Priced

STIR

ECB-dated OIS contracts price just over 75bps of cuts through the remainder of ’24.

  • No changes in policy are expected at today’s ECB decision (OIS pricing is flat for the event).
  • Communications pointing to a June cut will be closely eyed, with 19bps of cuts priced through the June meeting at present. ~22bp of cuts were priced pre-U.S. CPI.
  • Our full ECB preview is here.
  • Euribor futures are -1.5 to -4.0 through the blues, operating close to yesterday’s lows.
  • ERZ4 continues to hover around the Nov ‘23 double-bottom support.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Apr-243.9080.1
Jun-243.714-19.3
Jul-243.600-30.7
Sep-243.417-49.0
Oct-243.306-60.1
Dec-243.145-76.2

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