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European Terminal Rates Back To Pre-CPI Levels, US Stays Down

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European terminal rate expectations are basically back to where they were before the US CPI release Thursday (but Fed hike pricing remains lower):

  • There is still around 160bp of further BoE hikes expected in this cycle (had dropped from 163bp to 148bp implied at Thursday's low).
  • ECB hikes are seen totaling a further 152bp, basically the same as pre-CPI, but up from 134bp at Thursday's low.
  • We'd take US readings with a bit of caution today given the thinner holiday trade, but futures continue to point to around 15-16bp less implied cumulative hiking to mid-2023, at 107bp (about 8bp off the low which was 99bp).

Cumulative hike pricing remaining in cycle (ppt)Source: BBG, MNI

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European terminal rate expectations are basically back to where they were before the US CPI release Thursday (but Fed hike pricing remains lower):

  • There is still around 160bp of further BoE hikes expected in this cycle (had dropped from 163bp to 148bp implied at Thursday's low).
  • ECB hikes are seen totaling a further 152bp, basically the same as pre-CPI, but up from 134bp at Thursday's low.
  • We'd take US readings with a bit of caution today given the thinner holiday trade, but futures continue to point to around 15-16bp less implied cumulative hiking to mid-2023, at 107bp (about 8bp off the low which was 99bp).

Cumulative hike pricing remaining in cycle (ppt)Source: BBG, MNI