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BoE Peak Pricing Pushes Back Toward 6%, ECB Anchored Around 4%


UK and Eurozone central bank tightening expectations firmed Thursday alongside a sell-off in US rates.

  • BoE terminal Bank Rate pricing +7.2bp to 5.94% (94bp of further hikes left in the cycle to Feb 2024). Peak pricing is up 12bp from Wednesday's post-UK CPI lows, but remains below the 6% threshold, let alone July's highs above 6.50%. UK retail sales feature first thing Friday morning as a potential macro catalyst., particularly for the August MPC (for which a 50bp hike remains roughly 45% priced vs 25bp 55%). Cumulative hikes through Sept are priced at 66bp, and Nov at 83bp.
  • ECB terminal depo Rate pricing +1.3bp to 3.98% (48bp of further hikes left in the cycle to Dec 2023). ECB peak pricing remains firmly anchored, having closed within 5bp of the 4.00% implied mark since June 19. We continue to await a decisive catalyst to change this, with next Thursday's ECB meeting messaging potentially key (though for the meeting itself, a 25bp hike is 95+% priced).

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