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Fed Implied Rates Have Mostly Unwound Reaction To CPI Miss

  • Fed Funds implied rates have continued to push higher overnight, with pricing for Jul and Sep meetings higher than just before last week’s CPI miss. Nov and Dec have also essentially closed the gap whilst 2024 meetings are within 4bps (a suspect print for Dec’24 aside) – see below table for details.
  • Cumulative hikes from 5.08% effective: +24bp Jul (unch), +28bp Sep (+1bp), +33bp Nov to terminal 5.415% (+1.5bp).
  • Cuts from Nov terminal: 5bp to Dec’23 (from 6bp yesterday), 67bp to Jun’24 (from 71bp) and 136bp to Dec’24 (from 148bp). Note the Dec’24 currently showed +13bps on the day vs +6.5-7bps for both Sep and Nov meetings.

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