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Fed Rate Path Holding With ~50bp Of Cuts In 2H23

STIR FUTURES
  • Ahead of tomorrow's payrolls report, the Fed Funds implied terminal has slowly clawed back some of the ECB-induced dip for the terminal rate, at 4.89% in June (-1bp on the day) off a low of 4.87%.
  • The majority of that additional 31bp of hikes comes from 20.5bps priced for the Mar 22 FOMC.
  • Inversion through 2H23 builds slightly on the day, with 50bps priced to year-end vs 49bp with yesterday’s post-FOMC close and 44bp prior to the announcement.

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