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Fed Rate Path Pushing Higher, FRA/OIS Continues Move Off Highs

STIR
  • A reasonable recovery in Fed pricing over the past half hour, up 2bps to 36bp for March vs 38bp pre-payrolls and 42-43bp before yesterday’s slide.
  • Decent move for terminal up from 5.28% to 5.37-38% over the same window, still for the July meeting, vs nearer 5.5% pre-payrolls and recent highs ~5.65%. Holding with more than one cut now fully priced to year-end.
  • June FRA/OIS tracking just under 26bps, still up 10bps on the day but off earlier brief highs of 30bps.

Source: Bloomberg

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