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Unwinding Shorts Again, Fed Gov Waller up Next

US TSY FUTURES
  • Still weaker, Tsy futures look poised to overtake this morning's post NY Empire Mfg highs: TYH4 hovering around 112-10 (-9), 10Y yield back below 4.0% again at 3.9992%.
  • Curves steeper, 2s10s taps -17.236, least inverted since late October where the spread tapped -11.024 briefly.
  • Projected rate cuts for the first half of 2024 recede slightly over the next two meetings: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -68.8% vs. -71.2% Monday w/ cumulative of -18.3bp at 5.145%, May 2024 continues to fully price in 25bp cut w/ cumulative -46.5bp at 4.864%. June 2024 cumulative -77.6bp at 4.553%. Fed terminal at 5.33% in Jan'24.
  • Focus turns to Fed Gov Chris Waller moderated discussion Brookings Inst, livestreamed at 1100ET. Link

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