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ECB terminal rate pricing to 55bp

EURIBOR
  • Following this morning's soft Spain HICP data pricing for the June ECB meeting has remained stable around 24bp (it briefly dipped below 23bp before rebounding).
  • In terms of terminal rate expectations, there is now a peak of 55bp priced in by the October meeting. This is up from around 52.5bp as today's intraday low but down from yesterday's close of 57bp.
  • The biggest move on the Euribor strip has been in the Dec-24 contract which is 7 ticks higher on the day at writing, 14.5ticks higher than Friday's close.

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