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ECB Pricing Firms Further In Light Of Hawkish Sources Piece From RTRS

STIR

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-233.832+17.8
Oct-233.898+24.4
Dec-233.921+26.7
Jan-243.900+24.6
Mar-243.857+20.3
Apr-243.786+13.2
Jun-243.687+3.3
Jul-243.590-6.4
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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