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ECB Terminal Pricing Dips 10bp Post US Inflation Data

STIR

The surprisingly low US inflation print has knocked back ECB rate hike pricing: mid-2023 implied peak rates dropped 10bp at one point to 2.75%, the lowest since Dec 2 (just before the stronger-than-expected US nonfarm payrolls).

  • Last 2.79%, implying around 139bp in hikes from here.
  • 52bp is priced for Thursday's decision. Cumulative pricing through Feb's meeting is off a couple of basis points today, to 93bp.

Jul 2023 ECB Implied Rate (%)Source: BBG, MNI

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