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FX & Rates · 2 October 2026
Fed funds futures price a firmer, no-cuts path (81.3bp higher over 12 months) that is running ahead…
Fed funds futures price a firmer, no-cuts path (81.3bp higher over 12 months) that is running ahead of both the falling 2-year Treasury yield and the softer September payrolls data, leaving the stretched leveraged-fund 2-year short more exposed to a reversal than the priced path implies.
- What would prove it wrong
- The US 2-year Treasury yield closes at or below 4.60% on 8 October 2026 or earlier, showing the cash curve and the leveraged short are outrunning the priced tightening path rather than confirming it.
- Stated probability the thesis holds
- 42% · 10d horizon
- Status
- Held · 17 October 2026 · Assessed against market data
- How it settled
- no DGS2 close below 4.6 through 2026-10-17
A dated research thesis and its assessment. This is not portfolio performance or an investment recommendation.