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 |
