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Holding Onto Lurch Higher In Fed Rate Path

STIR FUTURES
  • Fed Funds implied hikes remain off yesterday highs but still see very large increases on pre-CPI levels.
  • 79bp Nov (+4bp), cumulative 141bp to 4.49% Dec’22 (+11bp), terminal 4.88% Mar’23 (+22bp) and 4.51% Dec’23 (+15bp).
  • Compared with post Sep FOMC levels, it sees the Dec'23 at joint highs but the terminal some 10bps higher.
  • George (’22, text tbd) and Cook (Gov, no text) discuss econ outlook then Waller (Gov, text) on digital currency, with reminder that Bullard (’22) discusses inflation on Sat.

FOMC-dated Fed Funds futures implied ratesSource: Bloomberg

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