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Fed Terminal and 2H23 Rates Slide Back To Initial Post-CPI Levels

  • FOMC-dated Fed Funds implied rates continue to see a significant rally following a more dovish Daly adding to stepdown talk (“thinking hard about a step down but we’re not there yet”), building on Timiraos’ piece about a potential 50bp clip in Dec.
  • Off lows but 76.5bp for Nov (-1.5bp), 135.5bp to 4.44% for Dec (-8.5bp), terminal 4.89% (-13bp) and 4.60% Dec’23 (-18bp)
  • Putting those moves in perspective, the terminal and more so end-2023 rate are still close to post-CPI levels from last week after large increases in the past two days.

FOMC-dated Fed Funds futures implied ratesSource: Bloomberg

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