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US Front Rates Steepen Further Post FOMC

STIR
  • FF futures are now pricing in 20bps of hikes at the Mar FOMC meeting (+2.5bps from yesterday morning) and 84bps come the end of the Dec meeting (+10bps).
  • The Mar'22 is down slightly from the 21bp peak after the release of the minutes whilst the Dec'22 has ground higher today and is currently just off session highs.
  • The spread of 64bps sees it back at the previous highs briefly touched immediately prior to the emergence of Omicron.
  • EDZ2 has seen a similar story, continuing to move lower this morning and briefly touching a new post-pandemic low earlier of 98.835 (currently 98.845). This is after a clear break of previous support at 98.90 following the minutes.
  • Potential further triggers ahead include Bullard (2022 voter) and Daly (non-voter) speaking. ISM services is the main data release over finalised durable goods for Nov and weekly jobless claims, but with much greater focus on tomorrow’s payrolls.

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