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Latest Fed Funds Pricing

STIR FUTURES
  • Fed Funds futures pricing has pulled back marginally in the past couple hours but remains substantially higher than after CPI.
  • Feb pricing (FFG2) has pulled back to ~3.5bps priced having fleetingly touched nearer 7.5bps on Bullard, helped by Daly and Barkin comments (below).
  • For specific meetings, March is close to where it sat after Fed commentary last night (+46bps) but further out pricing remains stronger, with over 100bps following June, per Bullard's wish, and 166bps for 2022 as a whole.
  • Post CPI Fedspeak:
    • Bullard (2022): Favours 50bp increase and 100bps by the beginning of H2. Should be open to considering inter-meeting increase
    • Daly (2024): March live and should hike but sending a stronger signal with a 50bp hike “is not my preference”.
    • Barkin (2024): Have to be convinced if 50bp increase needed but open conceptually. We have a lot more data before March FOMC meeting.

Meeting

~1hr post CPI

Latest

Mar

+36bp

+46bp

May

+69bp

+76bp

Jun

+91bp

+103bp

July

+109bp

+120bp

Sep

+127bp

+141bp

Nov

+137bp

+152bp

Dec

+154bp

+166bp

Fed Funds Futures Meeting Pricing. March (yellow), June (white) and December (green)Source: Bloomberg

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