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Under 80bps of ECB Cuts Priced Through ’24 Post US CPI

STIR

ECB-dated OIS contracts price 78bps of cuts through the remainder of ’24 following the stronger-than-expected US CPI data (vs ~88bps pre-data).

  • This represents the shallowest cutting cycle priced in over 5 months.
  • 20bps of cuts remain priced through the June meeting, with the communication at tomorrow’s ECB meeting more pertinent on that front.
  • Euribor futures are -4.0 to -11.0 ticks through the blues, with reds under the most pressure. ERZ4 tests the 27 Nov 2023 double-bottom support at typing.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Apr-243.908-0.1
Jun-243.711-19.8
Jul-243.586-32.3
Sep-243.405-50.4
Oct-243.292-61.7
Dec-243.130-77.9
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