STIR: Markets Still Lean Towards 1 Further ECB Cut
Aug-28 12:10
Modest hawkish moves in EUR STIRs as core global FI markets move away from early London bests.
- ECB-dated OIS is little changed to 2bp less dovish across liquid contracts, with ~18.5bp of easing priced through June.
- Euribor futures 1.0-3.0 lower. ERZ6 trades away from August highs, registered yesterday.
- Markets continue to point towards the likelihood of one further ECB rate cut in the current cycle.
- Note that the accounts of the most recent ECB meeting stressed that leaving rates on hold was a “robust approach”. See recent bullets for greater colour/key snippets.
- Early Thursday comments from Governing Council member underlined ongoing alertness on the part of the central bank, along with a willingness to adjust policy if needed. This wasn’t market moving and didn’t provide much in the way of actionable information.
- Regional focus is on tomorrow’s national level inflation data from the larger European economies, ahead of next week’s Eurozone-wide release.
- Early consensus based on the previews MNI has seen looks for the Eurozone-wide headline HICP reading to tick up a tenth to 2.1% Y/Y (on higher energy prices), while the core measure is expected to ease a tenth to 2.2% Y/Y (on softer services).
- Such dynamics would be in line with the ECB's broader view of the inflation outlook and shouldn't have a material impact on market pricing.
- Click for our full preview of that release.
- Note that the Belgian release saw steady HICP, with firmer services inflation.
ECB Meeting | €STR ECB-Dated OIS (%) | Difference Vs. Current Effective €STR Rate (bp) |
Sep-25 | 1.919 | -0.8 |
Oct-25 | 1.894 | -3.4 |
Dec-25 | 1.831 | -9.6 |
Feb-26 | 1.808 | -11.9 |
Mar-26 | 1.764 | -16.4 |
Apr-26 | 1.753 | -17.4 |
Jun-26 | 1.743 | -18.5 |
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STIR: Repo Reference Rates
Jul-29 12:05
- Secured Overnight Financing Rate (SOFR): 4.36% (+0.00), volume: $2.783T
- Broad General Collateral Rate (BGCR): 4.35% (+0.00), volume: $1.142T
- Tri-Party General Collateral Rate (TCR): 4.35% (+0.00), volume: $1.101T
- (rate, volume levels reflect prior session)
GILT PAOF RESULTS: GBP1.249988bln of the 4.375% Mar-28 Gilt sold.
Jul-29 12:03
- GBP1.250bln have been on offer.
- This leaves GBP42.042bln of the gilt in issue.
US TSYS: Early SOFR/Treasury Option Roundup: SOFR Calls, Blocks
Jul-29 11:50
Option desks report better upside call trade in SOFR & Treasury options overnight, much better SOFR volumes as they segue from earlier put interest. Underlying futures firmer, projected rate cut pricing mostly steady vs. late Monday (*) levels: Jul'25 at -0.8bp, Sep'25 at -16.6bp (-17.4bp), Oct'25 at -28.1bp (-28.2bp), Dec'25 at -44.4bp (-44.5bp). Year end projection well off early July level of appr -65.0bp.
- SOFR OPTIONS
- Block, 20,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 3.25 ref 96.075
- Block, 5,000 SFRQ5 95.81/95.93/96.00 broken call flys, 3.75 ref 95.84
- 1,500 SFRZ5 95.25/95.62/95.75 broken put flys ref 96.075
- 9,200 SFRZ5 96.25/96.50/96.75/97.00 call condors ref 96.05
- 2,000 SFRZ5 96.25/0QZ5 97.18 call spds, 0.5
- +10,300 SFRQ5 95.87/95.93 call spds, 1.25 vs. 95.835/0.15%
- Block, 2,500 SFRV5 96.18/96.43 call spds, 4.75 ref 96.07
- 3,000 SFRU5 96.62/97.25 2x1 put spds, 6.5 ref 96.655
- 2,000 SFRH6 95.87/96.25 2x1 put spds over 96.87/97.12 call spds ref 96.28
- 9,000 SFRV5 96.25/96.31 put spds over 96.50/96.75 call spds, 3.5 net ref 96.07
- +1,200 SFRU5 96.00/96.18, 1.0
- 1,250 SFRU5 95.68/95.75/95.81 put flys, 0.75 ref 95.835
- +1,300 0QV5 96.31 puts, 3.0
- Treasury Options
- 12,000 TUV5 104.12/104.37 call spds ref 103-25.62
- +1,500 wk2 TY 107.75/108.75 put over risk reversals, 0.5 net
- 2,450 TYU5 112/113 call spds, 8 ref 110-25
- 1,000 TUU5 103.75/104.12 call spds, 4.5 vs. 103-18.87/0.20%
