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Familiar Levels In Play For ECB Pricing


ECB-dated OIS is little changed across the strip, operating flat to 2bp firmer vs. yesterday’s closing levels. That leaves ~24bp of tightening priced for this month’s meeting and a cumulative ~41bp of tightening showing through September. Beyond there, terminal rate pricing continues to hover around the 4.05% mark in deposit rate terms.

  • The latest batch of German ZEW data saw a sharper than expected deterioration in the expectations metric, while the fall in the current situation metric wasn’t quite as pronounced as expected.
  • Final German CPI was in line with flash.
  • Today has seen ECB GC member Villeroy reiterate his higher for longer thesis, while outlining general expectations re: inflation.
  • There is little apparent when it comes to meaningful regional risk events during the remainder of the session.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
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