ECB Pricing Little Moved On The Day

Little in the way of meaningful, market moving communication from ECB Governing Council/Executive Board members since yesterday’s hawkish utterances from Schnabel, with the likes of de Guindos, Rehn, Stournaras & Vujcic generally sticking to script. There was a particular focus on core inflation highlighted by de Guindos and Rehn.

• Rehn’s comments seemed to provide a modest upward bias to the ECB-dated OIS strip.
• Note that the latest MNI Connect event with Governing Council member Simkus is ongoing. He has stated that he would not be surprised if the Bank chose to hike rates again in September, although flagged plenty of uncertainty re: that decision.
• A rally in Gilts and related spill over surrounding that move has provided some modest headwinds for pricing.
• The liquid ECB-dated OIS contracts generally operate within a couple of bp of yesterday’s closing levels.
• ~22bp of tightening continues to show for the July meeting, while ~47bp of cumulative tightening is priced before the terminal rate is realised.

Note that the above table assumes a 25bp adjustment vs. the most recent €STR overnight rate levels.