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Fed OIS Pricing Roughly A Cut A Meeting From July To Year End

STIR FUTURES
  • Fed-dated OIS implied rates have seen a significant slide over the past 30mins, despite ticking off latest lows most recently, as prior downward pressure intensifies. Some pertinent points:
  • Pricing 8.5bp of cuts for the Jun FOMC with yesterday’s hike fully reversed in July (-25bps) in what would be a historically fast switch to cuts from the historical average of six months.
  • A cumulative 48bp of cuts to 4.60% in Sep (-13bps on the day), 76bp cuts for Nov and 103bp of cuts to 4.05% Dec (-20bps).

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