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Little Movement In ECB Pricing Given Bank's Well-Known Stance

STIR

ECB-dated OIS is fairly immune to the swings in wider core global FI markets given the Bank’s well-documented monetary policy stance and the proximity to Thursday’s decision (expect our full preview of that event to cross later this week).

  • The liquid contracts trade little changed as a result, with essentially 0 priced in for this week’s decision and only residual odds of a further hike in the current cycle seen.
  • Further out, the first full 25bp cut remains priced come the end of the July meeting.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Oct-233.907+0.2
Dec-233.938+3.3
Jan-243.937+3.2
Mar-243.886-1.9
Apr-243.815-9.0
Jun-243.714-19.1
Jul-243.610-29.5
Sep-243.497-40.8
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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