ECB – 10bp Cut By September Priced After Sintra

Big moves yesterday after Draghi’s comments in Sintra. The #ECB dated #OIS curve shifted lower by 5-6.5bp meaning we are now almost pricing a full 10bp cut by September and almost 2 full cuts by July 2020.

The charts below show the cuts priced into OIS as of today vs where we were at the close on Monday (pre Sintra) and how the pricing has evolved over the last few months – just 1 month ago OIS market wasn’t pricing in any significant chance of a cut.