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ECB Pricing Marginally Firmer, Within Recent Ranges

STIR

ECB-dated OIS pricing is marginally higher on the day, alongside some relative underperformance in German bonds vs. UK & U.S. equivalents.

  • That leaves ~9bp of tightening showing for next month’s meeting, while terminal deposit rate pricing hovers around 3.90%, with both measures in familiar territory.
  • Regional headline flow remains subdued, save a modest mark lower in final Italian CPI data.
  • Focus remains on cross-market gyrations and the impending U.S. CPI release.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Sep-233.737+8.8
Oct-233.792+14.3
Dec-233.801+15.2
Jan-243.778+12.9
Mar-243.713+6.4
Apr-243.640-0.9
Jun-243.529-12.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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