Swap rates are up over 30bps since last week's CPI print - the fourth straight print above consensus.
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BALANCE SHEET HEDGING

No Rate Cuts in 2024?

April 16, 2024

Swap rates have climbed over 30bps since last week's CPI print - the fourth straight print above consensus. The market now implies only 40bps of rate cuts through 2024, raising the question: does the Fed reduce rates at all this year? 

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Many of our clients have capitalized on the move higher in swap rates:

  • Depositories with pay-fixed swap gains can use floors to lock in gains and limit downside.
  • Institutions with outright risk to lower rates can execute forward-starting swaps and floors to delay any hedging expense to 2025 (or beyond).
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*Pricing indicative as of 4/16, provided for illustration purposes only and subject to change

We also continue to see interest in pay-fixed swaps from those with exposure to a "higher for longer" scenario:

  • Institutions with funding needs can use swaps to create efficient fixed rate funding.
  • Depositories with two-way exposure to both falling and rising rates can combine swaps and floors to create one-way protection.
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*Pricing indicative as of 4/16, provided for illustration purposes only and subject to change

 

Revisit some of our recent publications and webinars:

  • Webinar Replay: Digesting Q1 and the Latest FOMC Projections
  • Strategies in Action: Commentary from Q4 Earnings Calls

Contact Us

Desk: 212-651-9050

Isaac Wheeler

Managing Director

Balance Sheet Strategy

iwheeler@derivativepath.com

Jordan Wank

Associate

Balance Sheet Strategy

jwank@derivativepath.com

Von Garces

Head of Hedge Accounting

vgarces@derivativepath.com

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