ECB Terminal Rate Pricing Shows Above 4.00% For First Time Since March

ECB-dated OIS pricing indicates a terminal ECB deposit rate of 4.00% (assuming all of last week’s 25bp hike is passed through into money markets), with spill over from the firmer than expected UK CPI release noted this morning.

• This is the first time since March that terminal rate pricing has topped the 4.00% mark, per BBG data.
• The dated-OIS curve steepened a touch today, with the liquid contracts 1.5-4.0bp firmer at typing, operating shy of hawkish session extremes.
• Comments from ECB Governing Council member Kazimir, underscoring the data-dependent nature of the Bank’s September meeting, coupled with a recovery from session cheaps in core global FI markets, helped the space off session extremes.
• Comments from Bank of France Governor Villeroy, made late yesterday, largely went over old ground.
• Elsewhere, Spain’s Economy Minister pushed back against the need for more ECB rate hikes, at least from a domestic perspective,
• ECB speak from Schnabel & Nagel headline the regional calendar this afternoon, although Schnabel’s recent hawkish airings, coupled with the presence of Fed Chair Powell’s latest address and ongoing Gilt vol., may mean that participants could look to matters outside of ECB comments for cues.