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STIR: ECB-dated OIS Price 30% Implied Probability Of An October Cut

STIR
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ECB-dated OIS price 7bps of easing through the October meeting, corresponding to a ~30% implied probability of a 25bp cut. However, rhetoric from last week’s press conference and subsequent ECB-speak suggests such a move is quite unlikely, given the lack of data released between now and the October 17 decision.

  • 38bps of cuts are priced through year-end.
  • Over the weekend, Belgian CB Governor Wunsch (usually considered hawkish) said further rate cuts are likely if the ECB’s baseline scenario holds, but he sees “a small risk that it’ll happen more slowly if services inflation remains elevated”.
  • Euribor futures are +0.5 to +3.0 ticks through the blues, with overnight activity limited by public holidays across Asia.
  • This week’s regional calendar includes final August HICP (Wednesday), but the Fed decision is set to take centre stage. Markets will also be watchful of spillover potential from the BoE and BoJ decisions.

 

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ECB-dated OIS price 7bps of easing through the October meeting, corresponding to a ~30% implied probability of a 25bp cut. However, rhetoric from last week’s press conference and subsequent ECB-speak suggests such a move is quite unlikely, given the lack of data released between now and the October 17 decision.

  • 38bps of cuts are priced through year-end.
  • Over the weekend, Belgian CB Governor Wunsch (usually considered hawkish) said further rate cuts are likely if the ECB’s baseline scenario holds, but he sees “a small risk that it’ll happen more slowly if services inflation remains elevated”.
  • Euribor futures are +0.5 to +3.0 ticks through the blues, with overnight activity limited by public holidays across Asia.
  • This week’s regional calendar includes final August HICP (Wednesday), but the Fed decision is set to take centre stage. Markets will also be watchful of spillover potential from the BoE and BoJ decisions.

 

Keep reading...Show less