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ECB Hike Pricing Picks Up On Flash Inflation; BoE Recovers US-Related Dip

STIR

ECB peak hike pricing ticked to the highest since Jul 26th on Wednesday after German and Spanish inflation data set the stage for a slightly higher-than-previously-expected Eurozone-wide number Thursday. BoE pricing was largely unchanged.

  • ECB terminal depo Rate pricing +2.5bp to 3.97% (22bp of further hikes left in the cycle to Dec 2023). There's about 52% probability implied of a 25bp hike at the September meeting (up from around 44% at Tuesday's close), with 19bp in hikes cumulatively priced through the next two decisions.
  • BoE terminal Bank Rate pricing +0.1bp to 5.86% (61bp of further hikes left in the cycle to Feb 2024). Little on the UK macro calendar today meant terminal pricing fluctuated modestly with Eurozone and US developments, recovering about 2bp of a drop after weak US data, to finish flat. There's a full 25bp hike priced for the September BoE meeting (5% prob of a 50bp hike), with 45bp cumulatively priced through the next 2 meetings.

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