Fed day

September 21, 2022

–Yields pressed higher in front of today’s FOMC decision.  Tens up 8.1 bps to 3.57%.  Twos are nearing 4% ending at 3.96.  
–The Riksbank surprised with a hike of 100 bps yesterday, but the Fed is nearly a lock for 75.  However, FFV2 still settled 9687.5, which is 4.5 under the new EFFR of 308.

–Atlanta Fed GDP Q3 estimate was revised to its lowest level yet, at just 0.3%.

–SFRM3/SFRU3 is -15.5.  SFRH3/SFRM3 is -7.5.  If the press conference is convincing in terms of the Fed holding rates high until the job is done, these spreads should move toward zero.
–Projection for end of 2022 GDP was +1.7% in June.  It will have to come down to below 1.  Projection for year end (2022) FF was 3.4 in June.  That will have to come up to 3.8 to 3.9.  It will be interesting if the end 2022 FF projection exceeds end of 2023. In March, 2022 was 1.9 and 2023 was 2.8.  In June, 2022 was 3.4 and 2023 was 3.8.  

Posted on September 21, 2022 at 5:20 am by alexmanzara · Permalink
In: Eurodollar Options

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