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Fed Rate Path Unwinds Post-CPI Increase, Still Holds One Further Hike

STIR FUTURES
  • Fed Funds implied hikes have unwound earlier further increases seen on a modest CPI beat.
  • It leaves a bounce on the day to price a 17bp hike at next week’s FOMC and fully price a hike for May with 31bps to a terminal of circa 4.9%.
  • It’s followed by just over 60bps of cuts to 4.18% by year-end, reduced from ~100bps at yesterday’s close.
  • June FRA/OIS sits at the lower end of the session range at just under 30bps compared with a brief spike to 47bps yesterday and 11-13bps pre-SVB.

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