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ECB Pricing Firms Further In Light Of Hawkish Sources Piece From RTRS
ECB-dated OIS adjusts higher in light of the latest RTRS sources piece, published late Tuesday.
- That leaves 18bp or so of tightening priced for tomorrow’s decision, 8bp firmer vs. Friday’s close.
- Further out the strip, terminal policy rate pricing pushes above 4.00% i.e. one further 25bp hike is now more than fully priced in.
- To recap, the RTRS sources piece noted that “the European Central Bank expects inflation in the 20-nation euro zone to remain above 3% next year, bolstering the case for a tenth consecutive interest rate increase on Thursday.”
- The piece cited a single source, who also noted that “growth on the other hand will be downgraded for this year and 2024, roughly in line with market expectations.”
ECB Meeting | €STR ECB-Dated OIS (%) | Difference Vs. Current Effective €STR Rate (bp) |
Sep-23 | 3.832 | +17.8 |
Oct-23 | 3.898 | +24.4 |
Dec-23 | 3.921 | +26.7 |
Jan-24 | 3.900 | +24.6 |
Mar-24 | 3.857 | +20.3 |
Apr-24 | 3.786 | +13.2 |
Jun-24 | 3.687 | +3.3 |
Jul-24 | 3.590 | -6.4 |
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Why MNI
MNI is the leading provider
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