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STIR: Modest Hawkish Adjustments In ECB-dated OIS Following German State Data

STIR
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There has been a small unwind of ECB rate cut pricing following the German state-level inflation data, but ECB-dated OIS continue to price a ~70% implied probability of an October cut.

  • Although we have noted marginal downside risks to the 1.7% Y/Y German CPI consensus following the state-level data, dovish market positioning coming into the release (following last Friday’s French/Spanish data) has driven the modest hawkish adjustment in EUR STIRs.
  • There are 18bps of easing priced through the October meeting at typing, down from 20bps pre-data.
  • Implied cuts through the June 2025 meeting have fallen 6bps to 144bps.

 

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There has been a small unwind of ECB rate cut pricing following the German state-level inflation data, but ECB-dated OIS continue to price a ~70% implied probability of an October cut.

  • Although we have noted marginal downside risks to the 1.7% Y/Y German CPI consensus following the state-level data, dovish market positioning coming into the release (following last Friday’s French/Spanish data) has driven the modest hawkish adjustment in EUR STIRs.
  • There are 18bps of easing priced through the October meeting at typing, down from 20bps pre-data.
  • Implied cuts through the June 2025 meeting have fallen 6bps to 144bps.

 

Keep reading...Show less