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ECB Pricing A Touch Higher As Energy Prices Firm

STIR

A move higher in energy prices seemingly allows ECB-dated OIS contracts to edge higher today, although the moves are modest, with the liquid contracts 1-2bp firmer.

  • Around 11bp of tightening is showing for next month’s ECB meeting, while terminal deposit rate pricing prints between 3.90-3.95%.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Sep-233.761+10.9
Oct-233.812+16.0
Dec-233.829+17.7
Jan-243.806+15.4
Mar-243.744+9.2
Apr-243.654+0.2
Jun-233.535-11.7
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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