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Implied Fed Rates Holding Reversal Of Last Week's Core PCE Boost

STIR FUTURES
  • Fed Funds implied rates have slowly nudged higher in recent hours but the day’s move remains defined by the shift lower after the US open which then accelerated on softer than expected JOLTS labor data.
  • Seen with a 21.5bp hike for tomorrow’s decision (vs 24bp as the US came in) in what is now seen as a terminal for an effective 5.05%. The hike is seen reversed in Sep rather than Nov, with 21bp of cuts from current levels to 4.62% in Nov (-17bp on the day) and 42bp of cuts to 4.42% for Dec (-18bp).
  • The Dec’23 rate has fully unwound increases seen after last week’s core PCE beat and yesterday’s ISM Mfg Prices paid increase.
  • In SOFR space, these large moves continue into 2024 contracts, which despite paring post-data gains still sit +0.17-0.185 on the day.
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