After an initial move higher surrounding the broader core global FI dynamics, ECB-dated OIS has faded, with core global FI markets at least off session cheaps, if not firmer on the day, while oil is comfortably lower and through Friday’s base.

  • That leaves ECB-dated OIS little changed on the day, with a 25bp hike essentially fully priced for this week’s meeting, along with ~30bp of additional tightening before terminal rate levels are reached.
  • That is only slightly more aggressive than the general outline provided in our policy team’s most recent ECB sources piece (see here for more: https://marketnews.com/mni-sources-ecb-seen-likely-hiking-twice-more) which was run on Friday.
  • Expect steer from wider markets to be at the fore pre-ECB meeting, with the Bank in its quiet period.
  • There will be more on the impending decision in our usual ECB preview, set to be published in the coming days.
ECB Meeting €STR ECB-Dated OIS (%) Difference Vs. Current Effective €STR Rate (bp)
Jun-23 3.391 +24.4
Jul-23 3.589 +44.2
Sep-23 3.692 +54.5
Oct-23 3.697 +55.0
Dec-23 3.676 +52.9
Jan-24 3.618 +47.1

STIR: ECB Pricing Not Keen To Push Far Beyond Recent Terminal Anchor, In Line With Our Sources Piece

Last updated at:Jun-12 13:52By: Anthony Barton

After an initial move higher surrounding the broader core global FI dynamics, ECB-dated OIS has faded, with core global FI markets at least off session cheaps, if not firmer on the day, while oil is comfortably lower and through Friday’s base.

  • That leaves ECB-dated OIS little changed on the day, with a 25bp hike essentially fully priced for this week’s meeting, along with ~30bp of additional tightening before terminal rate levels are reached.
  • That is only slightly more aggressive than the general outline provided in our policy team’s most recent ECB sources piece (see here for more: https://marketnews.com/mni-sources-ecb-seen-likely-hiking-twice-more) which was run on Friday.
  • Expect steer from wider markets to be at the fore pre-ECB meeting, with the Bank in its quiet period.
  • There will be more on the impending decision in our usual ECB preview, set to be published in the coming days.
ECB Meeting €STR ECB-Dated OIS (%) Difference Vs. Current Effective €STR Rate (bp)
Jun-23 3.391 +24.4
Jul-23 3.589 +44.2
Sep-23 3.692 +54.5
Oct-23 3.697 +55.0
Dec-23 3.676 +52.9
Jan-24 3.618 +47.1