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ECB Pricing Little Changed Today

STIR

ECB-dated OIS is essentially unchanged across the curve, with any pay-side influences surrounding long end cheapening and the stabilisation of 5y5y inflation linked swaps above 2.60% limited.

  • We have noted that ECB Executive Board member Panetta stuck to the dovish side of the spectrum when it came to the prospect of further rate hikes, but he did highlight that the September meeting will be data-dependent, while Eurozone PPI data was on the softer side of expectations.
  • That leaves ~8bp of tightening priced for the Bank’s September meeting, while terminal rate deposit pricing remains sticky around 3.90%.
  • Also note that 3-month €STR fixed 25.1bp higher today, representing full adjustment to last week’s 25bp rate hike, rounding off the smooth transmission of the latest policy rate hike from the Bank.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Hike-Adjusted Effective €STR Rate (bp)
Sep-233.737+8.2
Oct-233.793+13.8
Dec-233.803+14.8
Jan-243.780+12.5
Mar-243.717+6.2
Apr-243.637-1.8
Jun-243.526-12.9
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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