Less Than 50bp Of Fed Cuts Priced For '24

Sizeable moves in FOMC-dated OIS pricing on the firmer-than-expected headline CPI prints, which were complimented by firm underlying readings at first glance.

• June pricing eases to ~6bp of cuts vs. ~15bp pre-release.
• ~13bp of cuts are now priced through the end of the July FOMC (a 25bp cut was fully priced pre-CPI), while ~26bp of easing is priced through September (vs. ~41.5bp pre-data).
• ~48.5bp of cuts are now priced for ’24 on the whole, as the recent hawkish repricing extends.
• Participants have been emboldened by the CPI data, which has allowed pricing to push further through the Fed’s median SEP dot.
• Recent inflation and labour market dynamics add to the “no landing” narrative, while election considerations are also noted in discussions.