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Fed Hike Expectations Slide With ISM

STIR FUTURES
  • FOMC-dated Fed Funds pricing 66bps for the July meeting, off a low of 63bps, with a cumulative 116bp for Sep and 165bps for Dec (-15bp from yesterday).
  • The rally in Eurodollars has been trimmed but the red pack has still gained up to +0.225 through the today with +0.11 coming since the ISM.
  • The peak implied yield is 3.60% in EDZ2 (-9bps from yesterday), keeping to 75bps of inversion in EDZ2/EDZ3 and with a trough in yields around 2.65% in 2024.

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