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ECB / BoE Terminal Pricing Higher Is Notable Vs Limited Fed Increase


The surge in oil prices on the OPEC+ production cut has bear flattened yield curves early Monday but the bigger picture is it hasn't been hugely impactful on terminal central bank rate hike pricing on either side of the Atlantic.

  • ECB/BoE peak pricing is a couple of bps off early session highs but have still gained more than Fed peak pricing this morning (which is still focused on May being the last hike, at only about 60%/40% prob of 25bp vs pause, and 55bp of cuts by year-end). We'll see if that changes as US desks come in.
  • The wider terminal differential has probably helped contribute to keeping a lid on the dollar (as noted), with the broad index back to flat vs earlier gains of +0.4% on the OPEC surprise (which defied the usual inverse relationship between oil prices and USD).
  • ECB terminal Depo rate pricing +4.1bp to 3.60%
  • BoE terminal Bank Rate pricing +3.7bp to 4.70%
  • Fed terminal Funds rate (upper limit) pricing +1.5bp to 5.16%

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