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Little Net Change In ECB-dated OIS As US CPI Revisions Digested

STIR

ECB rate cut expectations have returned to levels seen before the US seasonal adjustment release, as markets digest the totality of the revisions following a dovish initial reaction.

  • ECB-dated OIS contracts price 117bps of easing through 2024, after reaching a dovish extreme of 121bps on release. There are 12.5bps of cuts priced through the April meeting (i.e. 50% chance of a 25bp rate cut).
  • The Euribor strip now sits -1.0 to -4.5 ticks through the Blues, with Reds under the most pressure.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.888-2.0
Apr-243.783-12.5
Jun-243.555-35.3
Jul-243.347-56.1
Sep-243.113-79.5
Oct-242.930-97.8
Dec-242.738-117.0
Jan-252.591-131.7
Source: MNI/Bloomberg
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