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ECB Pricing Tracing Bond Swings, Little Changed On Day

STIR

ECB-dated OIS tracks the broader swings in core global FI markets today, last running little changed to a touch firmer vs. Friday’s closing levels, back from hawkish session extremes.

  • Views surrounding the late-stage nature of the Bank’s tightening cycle keep ranges more contained than what has been seen in UK STIR pricing.
  • ~10bp of tightening is showing for the Bank’s September meeting, with terminal deposit rate pricing between 3.90-3.95%.
  • Tomorrow’s release of the ECB consumer expectations survey presents the next point of note for particpants.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Hike-Adjusted Effective €STR Rate (bp)
Sep-233.756+10.1
Oct-233.817+16.2
Dec-233.834+17.9
Jan-243.815+16.0
Mar-243.756+10.1
Apr-243.676+2.1
Jun-243.561-9.4
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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