STIR: ECB Pricing Back To Little Changed On the Day As Bonds Recover
Jan-08 16:16
ECB-dated OIS back to little changed on the day, with the Dec ’25 contract showing ~102.5bp of cuts.
- Dec meeting pricing briefly moved to ~99bp of cuts at one stage today, during the broader sell off in wider core global FI markets.
- Bonds have since recovered from session lows, which has fed into the stabilisation in STIRs.
- Euribor futures last +1.0 to -5.0.
- November lows in ERZ5 & Z6 still some distance below.
- Hawkish media speculation surrounding Trump’s tariff preferences continue to shape discussions, with debate around the ECB’s reaction to growth and inflation risks seen.
- Markets have previously assumed that harsher tariffs from the U.S. would promote a dovish ECB reaction function, owing to economic growth worries.
- This may have also factored into the modest dovish move seen this afternoon.
ECB Meeting | €STR ECB-Dated OIS (%) | Difference Vs. Current Effective €STR Rate (bp) |
Jan-25 | 2.675 | -24.3 |
Mar-25 | 2.401 | -51.7 |
Apr-25 | 2.226 | -69.2 |
Jun-25 | 2.080 | -83.9 |
Jul-25 | 2.028 | -89.0 |
Sep-25 | 1.951 | -96.8 |
Oct-25 | 1.921 | -99.7 |
Dec-25 | 1.894 | -102.4 |
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US DATA: NY Fed Consumer Inflation Expectations Firm A Touch
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NY Fed consumer inflation expectations all increased a tenth in November, albeit with the 3Y metric exaggerated by rounding. The longer-term measures lag the recent increase seen in the U.Mich consumer survey where the 5-10Y dipped to 3.1% in preliminary December data after a rare push above its range to 3.2% in November.
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