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Reuters Sources & Global Inputs Prompt Receiver-Side Flows In ECB-dated OIS

STIR

ECB-dated OIS contracts have seen an extension of the post-ECB dovish move.

  • This comes after the latest Reuters ECB sources piece indicated the possibility of a dovish tweak in language at the March meeting, “paving the way for an interest rate cut possibly in June, if upcoming data confirms inflation has been vanquished.” This was generally in line with our own pre-meeting sources piece.
  • A softer-than-expected round of Tokyo CPI data is also being felt in wider core global FI markets.
  • There are now 145bps of cuts priced through 2024, up from around 140bps immediately following yesterday's press conference, and 129bps before the decision itself. There are 22bps of cuts priced through the April meeting at typing.
  • The Euribor strip is +1.0 to +5.0 through the blues.
  • This morning, ECB's Kazaks conveyed a similar message to Lagarde's post-meeting press conference, noting that the Bank is looking at all data, not just wage data, and remains data- rather than date-dependent.
  • Scheduled appearances from Simkus, Kazaks (again) and Vujcic are scattered through Friday, along with the release of the latest ECB Survey of Professional Forecasters.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.858-4.7
Apr-243.685-22.0
Jun-243.372-53.3
Jul-243.106-79.9
Sep-242.844-106.1
Oct-242.654-125.1
Dec-242.458-144.7
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