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ECB Pricing Off Hawkish Extremes

STIR

ECB-dated OIS consolidates off hawkish session extremes, with cross-market feedthrough from the U.S. CPI release noted, while some question the single sourcing of last night’s hawkish ECB sources piece from RTRS.

  • Those matters, coupled with the Bank’s well-defined data-dependent stance, prevented pricing covering tomorrow’s meeting from tending towards certainty of a hike, however, around 16bp of tightening is still priced for the event.
  • Terminal deposit rate pricing currently resides at 4.00%.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Sep-233.817+16.3
Oct-233.869+21.5
Dec-233.903+24.9
Jan-243.892+23.8
Mar-243.848+19.4
Apr-243.779+12.5
Jun-243.681+2.7
Jul-243.584-7.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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