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What's priced in?

ECB

Priced now vs pre-data this morning:

  • March: 49bp (unchanged)
  • 86bp cumulatively by May (85bp earlier)
  • 115bp cumulatively by June (110bp earlier)
  • 133bp cumulatively by July (126bp earlier)
  • 146bp cumulatively by December (137bp earlier, from a peak of 148bp).

The higher inflation prints have had less impact on near-term pricing but have pushed up pricing from the June meeting onwards.

There are also less cuts priced for 2024. In fact, Euribor reds have seen the biggest moves (down up to 11.5 ticks this morning with Jun24 and Sep24 contracts moving the most.

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