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The latest round of rhetoric from ECB arch hawk Holzmann (indicating his personal preference for a peak ECB rate of over 4.00% in the current tightening cycle) does little when it comes to terminal rate pricing, with spill over from price action in the U.S. seemingly of more impact. As a result, terminal rate pricing continues to oscillate around the 3.75% mark (in ECB deposit rate terms), while pricing of further out meetings covered by the ECB-dated OIS strip are a touch firmer vs. previously outlined levels.
| ECB Meeting | €STR ECB-Dated OIS (%) | Difference Vs. Current Effective €STR Rate (bp) |
| Jun-23 | 3.374 | +22.9 |
| Jul-23 | 3.553 | +40.8 |
| Sep-23 | 3.640 | +49.5 |
| Oct-23 | 3.631 | +48.6 |
| Dec-23 | 3.573 | +42.8 |
| Feb-24 | 3.462 | +31.7 |
Source: MNI - Market News/Bloomberg
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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