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ECB Pricing Firmer & Steeper, 5y5y Swaps Push Further Beyond 2.60%

STIR

ECB-dated OIS run 1-6bp higher on the day, as the strip steepens.

  • 10bp of tightening is now priced for September, while terminal deposit rate pricing is between 3.90-3.95%
  • Comments from ECB chief economist Lane generally went over old ground on inflation expectations.
  • Regional data saw strong German factory orders driven by potential transitory factors, while Eurozone retail sales data was mixed with prior readings subjected to positive revisions.
  • The general direction of travel for core global FI markets and EUR 5y5y inflation linked swaps moving further above 2.60% have probably been in the driving seat.
  • U.S. NFPs are eyed into the weekend.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Hike-Adjusted Effective €STR Rate (bp)
Sep-233.754+10.1
Oct-233.812+15.9
Dec-233.833+18.0
Jan-243.815+16.2
Mar-243.757+10.4
Apr-243.690+3.7
Jun-243.584-6.9
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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