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Fed Implied Rates Consolidate Yesterday’s Decline

STIR
  • Fed Funds implied rates have mostly consolidated yesterday’s decline in a particularly thin docket also light on macro headlines. It leaves the broad path lower since Wednesday’s FOMC minutes (building to -5bps for 2H24 rates) but still considerably higher than before the last major macro release in US CPI – table in image below.
  • Cumulative hikes from 5.33% effective: +2.5bp Sep (unch on the day) and +9bp Nov for 5.42% terminal (-0.5bp).
  • Cuts from Nov terminal: 3bp to Dec’23, 51bp to Jun’24 and 117bp to Dec’24, the latter just 5bps higher than the least inversion post July FOMC.

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