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ECB Central Bank Forum Headline Reaction

US TSY FUTURES
  • Treasury futures gap lower: TYU3 112-26 low but quickly rebound (112-31 last +4.5) amid fast two-way trade after the ECB Central Bank Forum in Sintra continues. Fed Chair Powell, ECB Lagarde, BOJ Ueda and BOE Bailey on policy panel event. Recent comment from Chairman Powell saying consecutive rate hikes are not off the table spurred fast sell interest in short to intermediates.
  • Projected rate hike at the July 26 FOMC holding to 76% w/ implied rate of +19.1bp to 5.267%. September cumulative of +24.8bp at 5.325% while November is pricing in just over a 25bp hike with cumulative at 30.8bp at 5.385%. Fed terminal at 5.385% in Nov'23 this morning.

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