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Fed Implied Rates Treading Water Ahead Of US CPI

STIR
  • Fed Funds implied rates are marginally higher for the next two meetings (+3.5bp for Sep and cumulative +9bp for Nov) but see small declines on the day for subsequent meetings.
  • Cut pricing remains at the higher end of the post-July FOMC range, with 62bp from the Nov terminal to Jun’24 and 139bp from terminal to Dec’24.
  • The implied 4.18% effective for Nov'24 and 4.03% for Dec'24 compares with the June median dot of 4.5-4.75% for 4Q24.

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