PMIs Pose Some Questions Ahead Of ECB Meeting, OIS Flattens As Pricing Eases Beyond This Week

There has been little to meaningfully shape ECB-dated OIS pricing since this morning's softer than expected Eurozone PMI data, although the readings weren’t as soft as the German and French national prints indicated they may be. The surveys are the latest dataset to generate worry re: the health of the Eurozone economy and will present further questions for the ECB to answer after Thursday’s monetary policy decision is issued, which is particularly poignant with the Bank seemingly concerned re: striking the correct tone in its post-meeting communique.

• ECB-dated OIS runs little changed to 8bp softer on the day through the liquid contracts as the strip flattens, with a 25bp hike at this week’s meeting remaining essentially fully priced, while terminal deposit rate pricing has eased to the 3.95% mark, hovering a little above the intraday lows, but threatening to close at the most dovish level seen since mid-June.