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Limited Minutes Reaction In Rate Path To 2023 With CPI Eyed

STIR FUTURES
  • ED yields dip 1bp through most of the white pack and 3-4bps further out, compared to shortly before the FOMC minutes to see peak declines on the day of 9bps for mid-2024.
  • It keeps implied yields peaking in EDH3 (4.910% currently) with EDH3/EDZ3 -0.35 and then the same profile of larger cuts in 2024 with EDZ3/EDZ4 -0.59.
  • FOMC-dated Fed Funds keep to a 74bp hike for Nov 2, with a terminal still close to cycle highs of 4.66% in Mar’23 (-1.5bp on the day) with larger declines in 2H23 to 4.33% in Dec’23 (-6.5bp).

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