EONIA

By Michael Chrysostomou

     MNI LONDON BUREAU - EONIA: The Eonia curve is seen slightly steeper in

Thursday morning trading, compared to Wednesday's close, as Greece finance

minister Yannis Stournaras warned that there was still a "possible risk" of

Athens leaving the Euro. Overnight EONIA falls to 7.0bp, lowest since Dec 12.

Very little macroeconomic data in Europe today, so market likely to be very

subdued. ECB announced banks deposited E232.556bln on Wed down from E239.109bln

the night before and borrowed E913mln vs E75mln. Currently see following levels

in Eonia:- - 1-week unchanged at 0.071% - 1-month unchanged at 0.074% - 3-month

lower by 0.2bps at 0.062% - 6-month lower by 0.1bps at 0.048% - 9-month lower by

0.1bps at 0.041% - 12-month unchanged at 0.042% - 18-month higher by 0.1bps at

0.06% - 2-year higher by 0.2bps at 0.096%

     EONIA: The Eonia curve has continues to steepen after EU commission says

banking union proposals are for 27 states. 6-month Eonia is higher by 0.9bps at

0.258% from 0.249%, 9-month is higher by 0.6bps at 0.25% from 0.244%, 12-month

is higher by 0.7bps at 0.247% from 0.24%, 18-month is higher by 0.8bps at 0.256%

from 0.248%, and the 2-year point is higher by 1.0bps at 0.289% from 0.279%

     EONIA: The Eonia curve has reversed the majority of the flattening move at

the beginning of the week, late on Thursday and Friday as the market takes stock

of ECB president Draghi's comments at the press conference yesterday. According

to MNI calculations, currently see following levels in Eonia and bps change

since last Friday's close:- - 1-week lower by 0.3bps at 0.111 from 0.114%% -

1-month higher by 0.4bps at 0.11% from 0.106% - 3-month higher by 0.4bps at

0.088% from 0.084% - 6-month higher by 0.7bps at 0.076% from 0.069% - 9-month

higher by 0.8bps at 0.074% from 0.066% - 12-month higher by 0.4bps at 0.074%

from 0.07% - 18-month lower by 0.6bps at 0.088% from 0.091% - 2-year lower by

0.9bps at 0.12% from 0.129%

     ______________________________________________________________

     EONIA: Ahead of ECB monetary policy decision at 1245GMT MNI PINCH see

markets pricing less than a 20% chance of 10bps deposit rate at the next 4

meetings. However this increases to 47% for the December 2018 meeting with first

full hike priced in for Q1 2019.

*Month......Rate......Prob 10bps chg

*----......-------...----------------- 

*January...-0.353%.......10.0%

*March.....-0.349%.......14.0%

*April.....-0.347%.......16.0%

*June......-0.343%.......20.0%

*July......-0.341%.......22.0%

*September.-0.334%.......29.0%

*October...-0.331%.......32.0%

*December..-0.308%.......47.0%

     ______________________________________________________________

     EONIA: The EONIA (European Over-Night Index Average) swap curve is now

implying a 1% chance of 25bps rate hike at the February Governing Council

meeting compared to 0.0% chance of a 25bps rate cut before today's announcement

and press conference. The probability chance of a 25bps rate cut in 6-months

time has reversed from 11% to a 1.5% chance of a rate hike.

     Month     Rate     Prob (25bps)   Prob (25bps) 

                                  Pre-Draghi 

-----     -----    ------------   ------------

February  0.071%       1.0%          -1.5% 

March     0.071%       1.0%          -5.0% 

April     0.068%      -0.5%          -7.0% 

May       0.069%       0.0%          -9.0% 

June      0.071%       1.0%         -11.0% 

July      0.073%       1.5%         -11.0%

August    0.075%       2.5%         -10.5%

September 0.085%       6.5%          -5.0%

--MNI London Bureau; tel: +44 203-586-2228; email: michael.chrysostomou@marketnews.com