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June FOMC Minutes Quickly Digested

STIR
  • Tsy futures remain weaker (10s -16 at 111-14 vs. 111-12 low), just off pre-FOMC minutes release lows on muted initial reaction. Short end continues to outperform.
  • Front month Sep'24 SOFR futures are currently trading +0.010 at 94.60. The balance of Whites (SFRZ3-SFRM4) are trading +0.020 to steady, Reds-Golds (SFRU4-SFRM8) -0.025--0.100.
  • Projected rate hike holding steady after paring expectations slightly this morning: July 26 FOMC remains 85% w/ implied rate of +21.3bp to 5.288%. September fully pricing hike w/ cumulative of +26.9bp at 5.344%, November cumulative on hold at 33bp at 5.405%, December cumulative at 28.3bp at 5.358%. Fed terminal holding at 5.405% in Nov'23.

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