STIR
ECB-dated OIS contracts shed 4-7bp post-decision, some of which represents the removal of the 4-5bp of residual pricing re: a 50bp hike for today’s decision, which ultimately failed to come to fruition. Terminal pricing in €STR terms falls to 3.57bp or just under 3.70% in ECB deposit rate terms.
- As we noted elsewhere, the statement reflects a bit of a trade-off, with the APP announcement and rhetoric surrounding the need to move policy rates to “sufficiently restrictive levels” likely the key areas of the bargaining agreement struck between the hawkish and dovish wings of the ECB, placating those calling for a 50bp step today.
- One area that didn’t receive any discussion in the post-meeting statement was the potential for some sort of bridging loan agreement ahead of the impending TLTRO redemption (in June), that will come under focus in the press conference.
| ECB Meeting | €STR ECB-Dated OIS Pre-Press Conference (%) | €STR ECB-Dated OIS Pre-Decision (%) |
| May-23 | 3.140 | 3.192 |
| Jun-23 | 3.369 | 3.410 |
| Jul-23 | 3.500 | 3.557 |
| Sep-23 | 3.573 | 3.623 |
| Oct-23 | 3.555 | 3.608 |
| Dec-23 | 3.488 | 3.541 |
| Feb-24 | 3.394 | 3.450 |
| Mar-24 | 3.246 | 3.315 |
source: MNI - Market News
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
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