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Receiver-Side Flows Seen In ECB-dated OIS, 133bps of Cuts Priced Through 2024

STIR

The weaker than expected services flash PMI prints, particularly in France and Germany, prompt receiver-side flows in ECB-dated OIS.

  • There are now 133bps of rate cuts priced through 2024, down from the post-PMI dovish extreme of almost 137bps, but up from 130bps pre-data.
  • The Euribor strip sits flat to +3.0 ticks, with contracts off intraday highs.
  • The move away from best levels comes as details of the reports came across stagflationary, with wage pressures evident in German and French services, alongside spill-overs from the stronger-than-expected run of UK flash PMIs.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9070.50
Mar-243.867-3.6
Apr-243.743-16.0
Jun-243.450-45.2
Jul-243.201-70.2
Sep-242.950-95.2
Oct-242.760-114.2
Dec-242.569-133.3

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