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Light Dovish Flattening On ECB-Dated OIS

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Akin to BoE pricing, geopolitical worry has promoted a dovish flattening of the BoE-dated OIS strip, leaving liquid contracts running little changed to 4bp softer on the day.

  • Softer than expected German industrial production data (albeit accompanied by positive revisions) added a minor local aspect to the move.
  • Elsewhere, a raft of ECB speak since Friday’s close (including from President Lagarde) did little to move the needle.
  • A circa ~10% chance of a further 25bp rate hike is priced, with a familiar cutting pace envisaged beyond terminal policy rate levels.
  • The most meaningful round of rhetoric probably came from the hawkish Knot, who noted that he is open to the idea of lifting the MRR of banks ‘in principal,’ but stressed that he needs to see a more detailed cost-benefit analysis on the matter, with his mind not made up as of yet.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Oct-233.906+0.7
Dec-233.921+2.2
Jan-243.907+0.8
Mar-243.850-4.9
Apr-243.765-13.4
Jun-243.661-23.9
Jul-243.559-34.0
Sep-243.429-47.0
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Akin to BoE pricing, geopolitical worry has promoted a dovish flattening of the BoE-dated OIS strip, leaving liquid contracts running little changed to 4bp softer on the day.

  • Softer than expected German industrial production data (albeit accompanied by positive revisions) added a minor local aspect to the move.
  • Elsewhere, a raft of ECB speak since Friday’s close (including from President Lagarde) did little to move the needle.
  • A circa ~10% chance of a further 25bp rate hike is priced, with a familiar cutting pace envisaged beyond terminal policy rate levels.
  • The most meaningful round of rhetoric probably came from the hawkish Knot, who noted that he is open to the idea of lifting the MRR of banks ‘in principal,’ but stressed that he needs to see a more detailed cost-benefit analysis on the matter, with his mind not made up as of yet.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Oct-233.906+0.7
Dec-233.921+2.2
Jan-243.907+0.8
Mar-243.850-4.9
Apr-243.765-13.4
Jun-243.661-23.9
Jul-243.559-34.0
Sep-243.429-47.0