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ECB Pricing ​Comfortably Lower On The Day, But Off Extremes Ahead Of Minutes


We are now off dovish session extremes on the ECB-dated OIS strip, after the Schnabel-Holzmann combination allowed the early blip lower to extend. Liquid contracts run 6-8bp lower.

  • That leaves ~8bp of tightening showing for next month’s meeting and terminal policy rate pricing hovering above 3.90%.
  • The accounts of the Bank’s most recent monetary policy meeting will cross at the bottom of the hour. Most think there is little in the way of market moving potential when it comes to that release, given the rear-view nature of the event and knowledge of the Bank’s well-defined data-dependent stance.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
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