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Post-FOMC Short End Adjustment

STIR

Heavy short end volume after the FOMC 25bp rate hike announcement, knee-jerk buying quickly met by better sell interest: Jun'23 SOFR futures currently -0.040 at 94.945. That said, implied rate hike for the next policy meeting on June 14 recedes:

  • Fed funds projected rate cuts for late 2023 climb above last week's highs: November cumulative currently -45.3bp (-31.1bp on 4/25) at 4.613, Dec'23 cumulative -68.2bp (-52.1bp on 4/25) at 4.383, while Jan'24 cumulative is at -89.5bp vs. a full three 25bp cuts last week.
  • Fed Terminal currently at 5.08% in Jun'23 this morning.

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