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ECB Terminal Deposit Rate Pricing Back Above 4.00%

STIR

The liquid area of the ECB-dated OIS strip is little changed to 4.5bp firmer today as the move away from yesterday’s richest levels in core global FI markets biases price action in that direction, although a move away from session cheaps in bonds has capped the pay-side move, leaving pricing a touch off hawkish session extremes.

  • That leaves ~24bp of tightening priced for this month’s decision, with ~41bp of tightening showing for September and a terminal deposit rate of just over 4.00% priced for December, after yesterday’s look below the round number.
  • There isn’t much in the way of regional event risk slated for Friday, which will leave focus on headline flow, cross-market gyrations and any Fedspeak that crosses ahead of the U.S. central bank’s pre-meeting blackout period.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jul-233.639+23.8
Sep-233.812+41.1
Oct-233.880+47.9
Dec-233.917+51.6
Jan-243.905+50.4
Mar-243.889+48.8
Apr-243.822+42.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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