ECB-Dated OIS Curve Steepens, Pricing Flat To A Little Firmer On The Day

ECB-dated OIS runs little changed to ~5bp firmer, as the curve steepens. Pricing for this month’s gathering indicates just over 90% odds of a 25bp rate hike, while just over 40bp of cumulative hikes are priced come the end of the Bank’s September gathering. Beyond there, terminal deposit rate pricing hovers around 4.05%, with all of those pricing measures operating within familiar territory, a little shy of the recent hawkish extremes.

• Weekend ECB speak from Governing Council member Villeroy pointed to the higher for longer dynamic that he sees when it comes to policy rates, which is probably factoring into market activity today (although isn’t particularly new news), while fellow GC member Centeno stuck to his usual dovish inclinations.
• ECB speak from Governing Council members Herodotou and Nagel provide the regional highlights as the day moves on, with subsequent rounds of ECB communique, including Thursday’s accounts of the June monetary policy meeting, set to garner the bulk of the local interest as the week wears on (U.S. CPI data and UK jobs data present some of the more notable international inputs). This week will also see final CPI prints from many countries across the region and the monthly ZEW surveys.