ECB-dated OIS contracts operate within last week's range, with 92bps of rate cuts priced for ‘24.
- Flash February CPI data did not result in lasting repricing re: the ECB rate path, even as core CPI topped expectations.
- Most suggest that February’s inflation data doesn’t meaningfully alter the outlook for the ECB ahead of this week’s meeting.
- Q124 wage data remains key when assessing the timing of the first rate cut, as several Governing Council members have noted in recent weeks.
- Euribor futures are +0.5 to -2.5 through the Blues.
- The regional data calendar is light today.
- Comments from ECB hawk Holzmann are due, but the ECB is in its pre-meeting quiet period.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Mar-24 | 3.903 | -0.1 |
| Apr-24 | 3.871 | -3.3 |
| Jun-24 | 3.694 | -21.0 |
| Jul-24 | 3.540 | -36.5 |
| Sep-24 | 3.329 | -57.6 |
| Oct-24 | 3.159 | -74.5 |
| Dec-24 | 2.985 | -91.9 |
| Jan-25 | 2.851 | -105.3 |
| Source: MNI/Bloomberg |
