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MNI: PBOC Sets Yuan Parity Lower At 7.1270 Fri; -0.95% Y/Y

CHINA PBOC CONDUCTS CNY358.05 BILLION VIA 7-DAY REVERSE REPOS FRI

CHINA SETS YUAN CENTRAL PARITY AT 7.1270 FRI VS 7.1321

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MNI JAPAN JULY TOKYO CORE CPI +2.2% Y/Y; JUNE +2.1%

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

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SOFR Futures Update

STIR

SOFR futures are trading mostly weaker this morning, near the lower half of a wide overnight range, lead quarterly futures remain bid following Wednesday comments in support of a pause in policy hikes by Fed Gov Jefferson and Philly Fed Harker.

  • Front month Jun'24 SOFR futures are currently trading +0.0175 at 94.7375 after 3M SOFR settled +0.01644 to 5.27638 earlier (+.01264/wk). The balance of Whites (SFRU3-SFRH4) are trading -0.005-0.040, Reds through Golds (SFRM4-SFRMH8) are trading -0.040-0.020.
  • Projected policy moves running near Wednesday lows: Fed funds implied 25bp hike on the June 14 FOMC at 8.3bp, July cumulative +19.1 to implied rate of 5.267%. September and November cumulative at +13.3 and 0.5 respectively while Dec'23 cumulative slips to -15.5bp at 4.922%. Jan'24 fully pricing in the first cut with cumulative at -33.9bp at 4.738%.
  • Fed Terminal has slipped to 5.26% in Aug'23 this morning.
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