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ECB Terminal Pricing Back To ~4.00%

STIR

The morning’s hawkish, but characteristic, comments from both Kazaks (initially to RTRS) and Wunsch (to us at MNI) allow ECB-dated OIS terminal pricing to edge back to 4.00% in deposit rate terms, with questions surrounding Italian bank liquidity in the wake of the previously outlined demand to access the Bank’s 1-week MRO facility, helping to underpin the move. Note that odds of a 25bp hike at next month’s ECB gathering continue to be priced around 90%.


ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jul-233.626+22.6
Sep-233.800+40.0
Oct-233.867+46.7
Dec-233.896+49.6
Jan-243.871+47.1
Mar-243.810+41.0
Apr-243.719+31.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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