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June Pricing Back To Post-Banking Tumult Highs, Under 60bp Of Cuts Showing By Year End

STIR

Yesterday’s hope re: some form of resolution surrounding the debt ceiling issue leaves ~6bp of tightening priced into FOMC-dated OIS covering next month’s gathering, pushing against the upper end of the range witnessed since the onset of the well-documented regional banking woes. That indicates a terminal Fed Funds rate of ~5.14. Further out the strip, ~36bp of cuts is priced in come the end of the Bank’s November meeting, while just under 60bp of cumulative cuts is showing by the end of the December gathering, comfortably off the recent extremes.

Fig. 1: FOMC-Dated OIS Jun ’23/Dec ’23 Spread

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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