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Markets Price in Higher NB Rate Peak Post-CPI

NORGES BANK
  • While this morning's CPI release hasn't prompted any broad view-change among sell-side analysts (most see the release as affirming their views for further tightening), markets are certainly taking note by marking up implied rate pricing via FRAs: the Sep/Dec 3m FRA printed a contract high of 4.825 following the release, adding over 10bps.
  • EUR/NOK has stepped lower to test support at the 11.5294 100-dma. A break below here opens levels not seen since mid-June and major support at 11.4199.
  • DTCC data shows a surge in demand for EUR/NOK downside, with 11.50, 11.20 and 10.90 put strikes trading in size following CPI. The shorter-end of the risk reversals curve remains toward the lowest levels of the year - currently at just 0.7 points, within range of the June lows at 0.6 points.

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