The December Repricing Happened Yesterday. One of the Three Baselines Says Nothing Moved.
Everyone has the same number this morning: the December Fed hike probability is around 70%.
Three readers carry it; none agrees on what it fell from — more than 80% on Wednesday, about 83% on Wednesday, or more than 70.9% on Thursday. On the third baseline the repricing is nine-tenths of a point. Lined up by timestamp the four readings are not a conflict but a mislabelled time series: 80% survived into Thursday's US morning, 70.9% by Thursday's close, about 70% now. The move was Thursday afternoon's, and the same named feed — CME FedWatch — is quoted at 80 and at 70 by one wire service two hours apart. The better finding is the curve: the two-year fell 10 to 11bp to 4.46-4.47% while the ten-year fell only 5 to 4.83-4.84%, a six basis point bull steepening confirmed by a published 10y-2y spread at +0.38pp. A flight to quality flattens; this took money out of the next two meetings and left the term premium alone. The driver is in the swaps — the one-year US inflation swap fell 24.9bp to 2.16% and the euro one-year 25.9bp to 3.10% on a 9% crude collapse. VIX rose almost 70% to 28.17 while MOVE stayed below 100. And we finally opened Treasury's refunding statement: the guidance sentence is confirmed verbatim, $125bn settles 16 November raising about $28bn of new cash, the 7-year conversion does not start until March 2027, and our own caption dating the February refunding to the 1st was wrong — the issuer says Wednesday 3 February.