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ECB Pricing A Little Steeper On The Day As Bonds Move Away From Best Levels

STIR

The move away from best levels in bonds leaves ECB-dated OIS firmer on the day, with the strip steepening as the liquid contracts print 1-4bp higher on the session.

  • That leaves ~9.5bp of tightening showing for next month’s meeting, after PMI data weighed on the strip yesterday.
  • Terminal deposit rate pricing is back above 3.90%, just.
  • That means that the strip prices just above slightly even odds of one further 25bp hike in the current tightening cycle.
  • We haven’t seen anything in the way of meaningful European data nor ECB speak, although we are set to get comments from ECB’s Centeno (1530 BST), Nagel (2330 BST) & Vujcic (0140 BST) over the next 12 or so hours via BBG TV.
  • More focus will of course be afforded to comments from ECB President Lagarde when she speaks at Jackson Hole on Friday.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Sep-233.748+9.6
Oct-233.795+14.3
Dec-233.806+15.4
Jan-243.780+12.8
Mar-243.729+7.7
Apr-243.649-0.4
Jun-243.540-11.2
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageEuropean Central Bank (ECB) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageEuropean Central Bank (ECB) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets

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