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Sept ECB And BoE Hikes In Question, As Peak Pricing Fades


ECB and BoE hike pricing pulled back sharply Thursday, with comments by ECB's Schnabel and BoE's Pill seen leaning dovish, and August Eurozone core inflation data looking less concerning than appeared the case Thursday after German and Spanish prints.

  • ECB terminal depo Rate pricing -7.3bp to 3.91% (16bp of further hikes left in the cycle to Dec 2023). Today's price action broke a 5-session streak of rising peak rate expectations to leave terminal pricing at the lowest since Aug 8. It dropped the probability of an implied September ECB hike from about 1-in-2 to about 1-in-4 , with just 11bp of hikes priced cumulatively through the next 2 meetings (vs 18bp yest).
  • BoE terminal Bank Rate pricing -9.4bp to 5.76% (51bp of further hikes left in the cycle to Feb 2024). Peak pricing is back to the lowest since Aug 10 and for the first time in a month, a 25bp BoE hike is no longer seen as assured, with implied probability of 92% currently; 38bp is priced through the next 2 meetings (was 44bp yest).

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