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Fresh Peak For ECB Rate Pricing And Cuts Erased After Schnabel's Comments

Following comments by the ECB Executive Board's Schnabel this morning that markets may be underestimating inflationary pressures, and in line with hawkish Fed repricing overnight, ECB peak pricing continues to hit fresh cycle highs.
  • The envisaged terminal deposit rate is up 5bp today at just above 3.72% implied in September-October 2023 (another 122bp of hikes from here).
  • Also notable: only about 1bp of ECB cuts priced between the peak and year-end, down from 8bp of cuts priced only a few sessions ago.
  • A 50bp ECB hike in March remains basically fully priced (95% probability), with 107bp through June (including roughly 2/3 prob of another 50bp in May).

Source: BBG

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