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ECB Pricing A Touch Flatter Into Decision, Hike Deemed Certain, All About What Comes Next

STIR

The post-FOMC dovish bias in core global STIR pricing is also evident in ECB-dated OIS ahead of today’s monetary policy decision, with the liquid contracts running little changed to ~4bp softer on the day.

  • That leaves a 25bp hike at today’s meeting fully priced, with ~38bp of cumulative tightening showing through the Bank’s September meeting, while terminal deposit rate pricing hovers around 3.95%.
  • When it comes to today’s decision the ECB will hike policy rates by 25bp and leave balance sheet policies unchanged. Beyond indicating a willingness to tighten further if necessary, the ECB is unlikely to pre-commit to an additional policy rate hike in September. Click for our full preview of the event.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jul-233.654+25.2
Sep-233.780+37.8
Oct-233.835+43.3
Dec-233.860+45.8
Jan-243.844+44.2
Mar-243.801+39.9
Apr-243.739+33.7
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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