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ECB Terminal Rate Pricing Remains Anchored Around 3.75%

STIR

ECB-dated OIS pricing is essentially unchanged on the day, after remaining fairly well insulated from any spill over surrounding yesterday’s hawkish BoE repricing.

  • Participants are still unwilling to push terminal rate pricing meaningfully beyond the 3.75% mark (in deposit rate terms), which equates to 2 further 25bp hikes in the current hiking cycle.
  • A hike at tomorrow’s decision is seen as a foregone conclusion, with the post-meeting statement and press conference set to be inspected for steer surrounding the trajectory of future monetary policy settings.
  • Today’s FOMC decision provides the final meaningful scheduled macro risk event ahead of the ECB.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jun-233.391+24.4
Jul-233.591+44.4
Sep-233.693+54.6
Oct-233.716+56.9
Dec-233.696+54.9
Jan-243.662+51.5
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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