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FOMC OIS Almost Fully Prices Holding Additional Hike To Year-End

STIR
  • July FOMC OIS expectations may ultimately be little changed on the day, but the tranche of mostly stronger than expected US data (the most notable being Conf Board consumer confidence and new home sales) has pushed subsequent implied rates notably higher in moves that have continued until very recently.
  • The pertinent moves have been a shoring up in the expectations that the November peak will see a full hike (now a cumulative +28bps) whilst that full hike is very nearly still price come the end of the year.
  • Cumulative changes from 5.08% effective: +18bp Jul (unch), +23bp Sep (+1bp), +28bp Nov (+4bp), +24bp Dec (+7.5bp) and +11bp Jan (+6.5bp).

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