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US Rates Take Cue From ECB/BOE Pricing In Wafer Thin Holiday Trade

STIR
  • Fed Funds implied rates have seen an unsurprisingly quiet session for Independence Day, holding a little lower in likely spillover from slightly softer peak ECB and BOE pricing.
  • Ahead of Wednesday’s FOMC minutes and with payrolls firmly on the horizon, there is +21bp priced for the July FOMC (-0.5bp on the day), building to a cumulative +34bp to a 5.41% terminal effective rate in November (-0.5bp).
  • It’s followed by 5bp of cuts to Dec’23 (-1bp) and 56bp of cuts to Jun’24 (-4bp).
  • There’s a similar story in SOFR futures, with the largest gains seen in the SFRM4 (+0.04). The Z3 is the most active on the day with volumes of just 50k.

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