November 09, 2022 07:50 GMT
What's priced in?
- Moves in Euribor and SONIA futures are 1-3 ticks higher across the strip this morning while the Eurodollar strip has move 1.0-1.5 ticks lower for Whites but the rest of the strip is flat to 0.5 ticks higher on the day.
- There is around 57bp priced in for the Fed's December meeting with 97bp cumulatively priced by February, 116bp by March and a peak of 126bp priced by June. The curve then inverts, falling to 95bp by the end of 2023.
- For the ECB there is 65bp priced for the December meeting with a cumulative 105bp priced by February, 131bp by March and 162bp priced by September 2023.
- For the BOE, there is 64bp priced for December, 107bp by February, 144bp by March and a peak of 167bp by June.