Volatility in EUR OIS rates has subsided...>

EUROZONE: Volatility in EUR OIS rates has subsided somewhat over the past week,

resulting in a realignment of the spline-based and model-based estimates. The

ECB is widely expected to end its asset purchases at the December meeting, but

markets may have to wait for further normalisation of monetary policy. Economic

activity in the region has deteriorated, political tensions are building and

market-based measures of inflation expectations are straining under the weight

of falling oil prices. With that in mind, it is possible that the ECB opts for a

dovish-end to QE by announcing a relatively flexible (or open-ended)

reinvestment policy. In any case, it is difficult in the current environment to

envisage a near-term hike to the deposit rate. The model-based PINCH estimates

indicate a 67.9% probability of a 10bps depo rate hike by the December 2019

meeting.

Please see: http://marketnews-m.objects.xtenit.com/MNI_PINCH_UPDATE.pdf