ECB Terminal Pricing A Touch Lower, Just Over 25bp Of Tightening Still Showing For Thursday

Yesterday’s moves in U.S. rates markets (with bank sector jitters, soft U.S. data and ‘x-date’ worry at the fore) weighed a little on ECB terminal rate pricing, adding to the downtick that was witnessed in the wake of the release of the ECB’s BLS. Terminal pricing on the OIS strip now hovers around 3.60% in €STR terms (~3.70% in ECB deposit rate terms), which is shown come the end of the Bank’s September gathering and is ~5bp shy of levels printed shortly after the BLS release. Nearer term, a 25bp hike remains more than fully priced for this week’s meeting, with ~28bp of tightening showing i.e. a circa 10% chance of a 50bp step is priced for that event.