Since the last FOMC meeting (9/21) the probability of rate hike by December 2016 has soared from under 50% to 76% today (ahead of tomorrow's Fed statement). At the same time, the US yield curve has steepened drastically (with 2s10s up over 20bps to 5-month highs).
However, unlike the last 4 Fed meetings, the US yield curve is steepening into the statement...
It seems something has changed this time. Whether it is technical pressure from Risk-Parity unwinds, or a growing concern of inflationary pressures building (as ISM/PMI pointed to this morning), it is clear bonds are starting to buy the Fed's jawboning... no matter economic data expectations remain weak at best.