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Goalposts Set Ahead Of ECB

STIR

A quick re-run of the ECB-dated OIS strip reveals no net movement in the pricing of tightening embedded for today’s meeting, with that metric hovering a touch below 30bp, equating to just over a 15% chance of a 50bp step at the impending decision. Terminal rate pricing still virtually fully discounts 2 further 25bp hikes in the months ahead (assuming a 25bp hike is delivered today), with €ESTR ECB-dated OIS terminal rate pricing hovering just below 3.65%, equating to a terminal deposit rate of ~3.75%.


ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
May-233.192+29.6
Jun-233.410+51.4
Jul-233.557+66.1
Sep-233.623+72.7
Oct-233.608+71.2
Dec-233.541+64.5
Feb-243.450+55.4
Mar-243.315+41.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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