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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
FED
It appears that June Fed rate hike pricing based on overnight indexed swaps has turned more hawkish despite the absence of any headline catalysts, with pricing based on fed funds futures barely changed.
- The rate hike implied for the June meeting has spiked to >75bp at writing (cumulative ~129bp priced for both May and June), facilitated by a ~25bp move in June dated OIS in early Asia-Pac dealing.
- A note that this move comes as the cumulative pricing for calendar ‘22 continues to move lower throughout the week (~230bp at typing) and today's apparent round of hawkish repricing only applies to the June meeting.
- Note that fed funds futures markets are still leaning towards two back-to-back 50bp moves in both May and June and have not seen anything like the move observed in the OIS space.
- We were unable to pin the spike on any specific headline catalysts, with regional news and data flow offering little of relevance to the move.
Fig. 1: BBG WIRP June Est. Change From Current Fed Funds Rate - OIS Model vs. Futures Model
Source: MNI - Market News/Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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