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Fed Implied Rates Drift Lower With CPI Eyed Tomorrow

  • Fed Funds implied rates are unchanged for the Jul 26 FOMC but otherwise have drifted lower overnight. It is seemingly building on yesterday’s second half softer trading in response to a sizeable drop for Manheim used vehicle prices rather than any new drivers, with US CPI landing tomorrow.
  • NY Fed Williams (voter) told the FT overnight he has pretty slow growth rather than a recession in his forecast, with little impact on current pricing.
  • Cumulative moves from 5.08% effective: +22bp Jul (unch), +27.5bp Sep (-1bp), +32.5bp Nov (-1.5bp), +27bp Dec (-1.5bp). Rates are first seen lower than they are today with the May'24 meeting (cumulative -11.5bps, -3bp on the day).
  • Cuts from Nov terminal: 6bp Dec’23, 64bp Jun’24 and 137bp Dec’24.

Source: Bloomberg

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