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ECB implied rates have operated within recently observed ranges for the majority of the day, with OIS still pricing 93bps of cuts through the remainder of 2024.
Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
Mar-24 | 3.901 | -0.4 |
Apr-24 | 3.834 | -7.1 |
Jun-24 | 3.645 | -26.0 |
Jul-24 | 3.495 | -41.0 |
Sep-24 | 3.298 | -60.7 |
Oct-24 | 3.140 | -76.5 |
Dec-24 | 2.971 | -93.4 |
Jan-25 | 2.838 | -106.7 |
Source: MNI/Bloomberg |
Goldman Sachs note that “the maturity of UK debt is the highest in the G10 but has been falling in recent years.”