Fixed Income Chart Of The Day: Forward guidance and FOMC meeting vol

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Fixed Income Chart Of The Day: Forward guidance and FOMC meeting vol

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Fixed Income Chart Of The Day 23 June 2026

Forward guidance and FOMC meeting vol

Matthew Raskin

Ahead of last week’s FOMC meeting, we noted that we are entering a new Fed Strategist

communications regime. On that count, the first meeting under Warsh did not +1-212-250-1741

disappoint. He studiously avoided providing guidance on future policy and was

reluctant to even expound on the decision the FOMC made last week, preferring Steven Zeng, CFA

Strategist to lean on the post-meeting statement. We will have to wait for the outcome of +1-212-250-9373

the “communications task force” to learn more but we think it is a safe bet that

big changes to the way the Fed communicates with the public and markets are Andrew Fu

forthcoming. Strategist

+1-212-250-1743

In the meantime, today’s chart provides perspective on the impact of historical

Fed forward guidance, looking at interest rate movements in narrow windows Francis Yared

Strategist

around FOMC statements and press conferences (when applicable). +44-20-754-54017

The left side shows the surprise change in current policy rate implied by moves in Ioannis Sokos

front-meeting fed funds futures (referred to in the literature as “MP1”). The right Strategist

side shows changes in the 2y UST yield, which we view as a proxy for the +44-20-754-75680

response to meeting communications of medium-term policy expectations. The

grey areas denote episodes when the Fed’s policy target was at the zero lower Markus Heider

Macro Strategist

bound (ZLB), which should lower the sensitivity of short-term rates independent +44-20-754-52167

of any impact from forward guidance. The blue vertical line is drawn in August