Recession Probability Implied By US Interest Rate Futures Is Too Low

By Matthew Raskin and Steven Zeng, DB Rates Strategists

Market pricing for the fed funds price path implies a roughly 70% likelihood of softlanding vs. recession. Given our view that recession is extra possible than not, this interprets into a lovely payoff to front-end receivers. Returns to ahead curve steepeners throughout Fed pauses hinge on the extent to which the Fed cuts greater than ex-ante priced. Given this, the payoff to ahead steepeners as we speak additionally appears favorable, much more so resulting from components boosting time period premia.

Pricing by means of two paths


Source link

Related Articles

Back to top button
Available for Amazon Prime