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New Highs For Hiking Cycle Into Fed Blackout

  • Fed Funds implied hikes hovering at 72bp for Sep, maintaining the earlier rise after what is interpreted as endorsement for a 75bp hike from Waller, joining Bullard explicitly earlier as part of his push back against market under-pricing higher for longer.
  • New highs for Dec’22 (3.87%, +6bp on day) and the Mar’23 terminal (4.00%, +6bp) whilst the 3.59% for Dec’23 is just under prior highs.
  • Waller stressed data dependence but struck a hawkish tone including the months and months of lower inflation he wants to see although George was more cautious, wanting steadiness and purposefulness over speed “given the likely lags in pass through of tighter monetary conditions”.

FOMC-dated Fed Funds implied Sep hike (white) and implied rates at specific meetings (bottom panel)Source: Bloomberg

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