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ECB Cut Pricing Hits Fresh Highs Before Fading; BoE Ticks Higher


ECB cut pricing for 2024 extended slightly Wednesday, though off intraday extremes.

  • Cued by dovishly-perceived commentary by ECB's Kazaks, in addition to Schnabel's comments Tuesday, saw 2024 implied cut pricing extend to a cycle-high 150bp before retracing over the course of the session to close at 143bp (up 3bp).
  • That includes a fully-priced cut by April 2024 (March had been above 90% implied probability at one point), with 50bp by June, 75bp by July, 100bp by September and 125bp by October.
  • BoE cut pricing for the year following the Feb/Mar 2024 peak was little changed at 103bp (up 2bp). The first full cut is cumulatively priced by the June 2024 MPC, with 50bp through September's.

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