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Fed Pricing Little Changed To A Touch Softer Post-CPI

STIR

While the post-CPI bias in FOMC-dated OIS has been dovish, moves have been limited, with some of the internals flagged earlier containing the reaction.

  • Pricing is off post-data extremes as a result, indicating a terminal rate of ~5.40% come November (on track for a post-July FOMC closing low at current levels), before ~66bp of cuts show through June ‘24.
  • Note that that the pre-data move accounted for more of the adjustment lower in June pricing than the post-data reaction.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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