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As You Were For ECB Pricing Ahead Of Today’s Decision

STIR

A fairly stagnant start for the OIS strip on ECB day, with the liquid ECB-dated OIS strip within a couple of bp of yesterday’s closing levels, despite the FOMC-, bank worry- & oil-related vol. in the U.S. rates space in the interim. That leaves residual pricing re: the potential for a 50bp hike later today in play, while terminal rate pricing hovers just below the 3.65% mark in €STR terms (~3.75% in ECB deposit rate terms). Beyond that point, 17bp of easing is priced in come the end of the Bank’s Feb ’24 meeting.


ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
May-233.188+29.2
Jun-233.406+51.0
Jul-233.549+65.3
Sep-233.640+74.4
Oct-233.632+73.6
Dec-233.563+66.7
Feb-243.468+57.2
Mar-243.330+43.4

Source: MNI - Market News/Bloomberg

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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