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Softer Data Help Lean On Fed Rate Expectations

STIR FUTURES
  • Fed Funds implied rates for 2H23 have reversed almost half of the dip on the Philly Fed miss and higher jobless claims data but are back or only slightly lower than levels as the US first started coming in.
  • 22.5bp hike for May (+0.5bp on the day) and cumulative 29bp for Jun (-0.5bp), -5.5bps for Nov from current levels (-3bp) and 24bp of cuts from current to 4.59% (-4.5bp).
  • With most of today's decline coming before the data, the year-end rate is within a few bps of Monday’s close having at the time been lifted further by the Empire beat, with today’s Philly miss leaning on that relative strength.

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