ECB: September Accounts Due At 1230BST/1330CET
Oct-09 11:20
- The ECB’s September accounts are due at 1230BST. Governing Council speakers since the Sep 11 decision have broadly agreed that rates are in a “good place”, though some members remain cognisant of downside medium-term inflation risks.
- The Accounts may shed some light on how prevalent downside concerns are at this stage. Elsewhere, we will be interested in whether there is any support for Executive Board member (and hawk) Schnabel’s view that inflation risks are skewed to the upside.
- Villeroy, Rehn and Simkus have stood out as possible candidates to support another rate cut, conditional on inflation/growth data undershooting the ECB’s latest projections.
- ECB-dated OIS currently price 2bps of easing through December. Near-term risks feel slightly skewed in a dovish direction, but we caution that the Accounts themselves aren't usually market movers.
- Terminal rate pricing sees 11.5bps of easing priced through July 2026, which feels fair given the ECB’s data-dependent stance and recent policymaker guidance.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Oct-25 | 1.925 | 0.1 |
| Dec-25 | 1.905 | -1.9 |
| Feb-26 | 1.888 | -3.6 |
| Mar-26 | 1.841 | -8.3 |
| Apr-26 | 1.833 | -9.1 |
| Jun-26 | 1.810 | -11.4 |
| Jul-26 | 1.811 | -11.3 |
| Sep-26 | 1.815 | -10.9 |
| Source: MNI/Bloomberg Finance L.P. | ||
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US TSYS: Off Yesterday’s Highs With Payroll Revisions and 3Y Supply Ahead
Sep-09 10:51
- Treasuries are mildly cheaper overnight, gently pushing back against yesterday’s bull flattening but comfortably within yesterday’s ranges.
- Today is highlighted by preliminary benchmark payrolls revisions at 1000ET (MNI Preview link), added attention on Trump administration BLS criticism, 3Y supply and then broader Trump comments. The docket will be seen in light of PPI and CPI coming on Wed and Thu respectively.
- Cash yields are 1.2-1.9bp higher on the day, with increases marginally led by 30s.
- Curves are marginally steeper but broadly consolidate yesterday's second day of flattening, including 5s30s at 113.9bp vs a briefly seen post-NFP high of 126.9bp (multi-year steeps).
- TYZ5 trades at 113-15+ (-02) off earlier lows of 113-11, on limited overnight volumes of 250k.
- Friday’s post-payrolls high of 113-21+ still carries weight having hit another fresh short-term cycle high. It marks the next resistance level after which lies 113-26+ (2.764 proj of Jul 15-22-28 price swing) whilst support is seen at 112-28+ (Sep 5 low).
- Data: Preliminary benchmark payrolls revision (1000ET).
- Coupon issuance: US Tsy $58B 3Y Note auction - 91282CNY3 (1300ET). Last month’s 3Y saw another small tail of 0.7bp although the bid-to-cover firmed a touch from 2.51 to 2.53.
- Bill issuance: US Tsy $85B 6W bill auction
- Politics: Press briefing with WH Press Sec Leavitt (1300ET), Trump participates in swearing-in ceremony for US Ambassador to Portugal (1600ET), Trump signs proclamation (1630ET)
STIR: 70bp Of Fed Cuts Seen To Year-End With Payroll Revision Estimate Eyed
Sep-09 10:31
- Fed Funds implied rates are 1.5bp higher on the day for end-2025 rates, pulling a little further away from fully pricing three consecutive rate cuts, but remain within post-NFP ranges ahead of payrolls benchmark revisions at 3pm.
- Cumulative cuts from 4.33% effective: 28bp Sep 17, 48bp Oct, 70bp Dec, 83.5bp Jan and 99bp Mar.
- The SOFR implied terminal yield of 2.86% (SFRH7) is 2bp higher on the day after yesterday saw a fresh lowest close since Sept 2024 (when it saw cycle lows in the high 2.7s), hovering just shy of 150bp of cuts ahead from current levels.
- Today’s US macro docket is headlined by the preliminary estimate for payrolls benchmark revisions at 1000ET. There’s a wide range of estimates here but we judge the median expectation to be circa -750k. MNI Preview: https://media.marketnews.com/US_Prelim_Benchmark2025_Preview_f1d718139b.pdf
- On a related note, the WSJ reports that advisers to President Trump are preparing a report laying out alleged shortcomings of the BLS’s jobs data including revisions.
- Tomorrow (Sep 10), the Senate banking committee will vote to approve CEA's Miran for the Fed Board of Governors at 1000ET. He would still have to be approved by the full Senate to be fully confirmed but this is moving quickly enough to assume that he will be at the FOMC table at the Sept 16-17 meeting.
LOOK AHEAD: Tuesday Data Calendar: BLS Survey Revision, 3Y Note Sale
Sep-09 10:28
- US Data/Speaker Calendar (prior, estimate)
- 09/09 0600 NFIB Small Business Optimism: reported 100.8 vs. 100.3 prior (100.5 est)
- 09/09 1000 BLS Prelim Benchmark Revision to Est Survey Data (-818k, -700k)
- 09/09 1130 US Tsy $85B 6W bill auction
- 09/09 1300 US Tsy $58B 3Y Note auction (91282CNY3)
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