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50bp Dec Hikes Seen, But Terminal Higher Post-Euro CPI

STIR

ECB and BoE December hike pricing didn't change much in the aftermath of the unexpectedly low headline eurozone November CPI print this morning, with the data seen confirming pre-existing expectations of a 50bp as opposed to 75bp for the next hike.

  • But the details suggested still-strong underlying core pressures, and mid-2023/early 2024 Euribor contracts weakened most, implying 2.5-4bp higher rates to an implied terminal 2.84% by Q3 2023.
  • Similarly, BoE Dec hike pricing dipped slightly (-1.6bp, to 58bp), but terminal hike pricing picked up 8-9bp (4.64% by Sep 2023).

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