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Slight Firming In Final EZ Core CPI Allows ECB Pricing To Move Off Dovish Session Extremes

STIR

The incremental move higher in the final Eurozone core CPI Y/Y reading for June, along with a move away from firmest levels of the day in broader core global FI, has helped the ECB-dated OIS space to tick away from UK CPI-inspired dovish extremes. That leaves the liquid contracts in the space little changed on the day. A 25bp hike at next week’s meeting is fully priced, while ~40bp of cumulative tightening is priced through the September gathering. Beyond there, terminal deposit rate pricing hovers back above 3.95%.

ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jul-233.646+24.7
Sep-233.800+40.1
Oct-233.840+44.1
Dec-233.872+47.3
Jan-243.846+44.7
Mar-243.804+40.5
Apr-243.734+33.5
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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