• Let’s get this out of the way first: the sharp rise in ESTR OIS forwards for the near future – so, up to 18 months or so ahead – and Euribor futures for the same period, have caught us by surprise. Like every rusty ECB-watcher out there and probably the ECB’s top brass themselves, in predictions for the central bank’s next step we were tinkering with post-pandemic QE purchase volumes and a smooth decline in the balance sheet by preventing too sizeable TLTRO repayments. We didn’t expect anything to happen to unsecured overnight and short-term rates between now and the end of 2022. When we made the call, money market pricing was still a see of calm. What difference one and a half month makes.


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