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ECB OIS Strip Firmer & Steeper Ahead Of Central Bank Gauntlet

STIR

ECB-dated OIS is a little firmer and steeper on the day, with the liquid contracts showing flat to 6bp higher. That leaves a 25bp hike fully priced for tomorrow, with around 39bp of cumulative tightening showing through September, while terminal deposit rate pricing hovers a little below 4.00%. Softer than expected money supply data has provided the only real regional point of interest today, with participants focused on the Fed/ECB gauntlet over the next 24 hours or so.

ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Hike-Adjusted €STR Rate (bp)
Jul-233.652+24.7
Sep-233.793+38.8
Oct-233.850+44.5
Dec-233.877+47.2
Jan-243.862+45.7
Mar-243.821+41.6
Apr-233.760+35.5
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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