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What's priced in?

STIR FUTURES
  • Euribor and Eurodollar futures are both down by 1-2 ticks across most of the strip while SONIA is
  • For the ECB, markets price in around 73bp for today's meeting and a cumulative 133bp by year-end (so pricing around a 1/3 probability of a second 75bp hike in December after almost fully pricing a 75bp hike today. Around 216bp is priced in over the next 12 months, implying a deposit rate of 2.75-3.00% around 35bp lower than the peak seen a week ago.
  • For the Fed, markets price around 76bp for next week's meeting and 133bp by year-end. This pricing is very similar to that of the ECB. However, into 2023 a slower pace of hiking is priced into markets with 175bp of cumulative hikes priced by March and a peak of 178bp priced by May before the curve inverts. 37bp of cuts are then priced from the peak by end-2023.
  • For the BOE, 76bp is priced for next week. Through the first half of October market pricing had settled in a 100-120bp range, even after the BOE had explicitly ruled out an intermeeting hike. A cumulative 140bp is priced by the December meeting (down over 100bp from the post-"Growth Plan" peak). Terminal rates are seen around 268bp higher than now i.e. below 5.00%, down from a peak of above 6.25%.
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