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$-Bloc Terminal Rate Expectations Firm Following US CPI Data

STIR

Market expectations regarding terminal interest rates in the $-bloc have firmed following the release of US CPI data for September, apart from NZ.

  • While headline CPI beat by 0.1% and core printed in line, the services component, excluding housing and energy, rose 0.6% m/m. Moreover, the Cleveland Fed’s mean and trimmed mean measures and the Atlanta Fed’s sticky CPI measure all strengthened for the second consecutive month.
  • Terminal rate expectations and the cumulative tightening currently stand at: 5.43%, +10bps (FOMC); 5.23%, +23bps (BoC); 4.23%, +16bps (RBA); and 5.70%, +20bps (RBNZ).

Figure 1: $-Bloc STIR: Terminal Rate Expectations & June’24 Pricing



Source: MNI – Market News / Bloomberg

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