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Modest Dovish Data Reaction For Fed Pricing

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A contained dovish reaction in FOMC-dated OIS as CPI data prints in line to a touch softer than expected and the retail sales control group comes in on the soft side, coupled with a negative revision.

  • FOMC-dated OIS moves to show ~49bp of cuts through year end vs. ~46.5bp heading into the data. Post-data extremes of ~51bp were seen.
  • Sep FOMC pricing never fully discounted a 25bp cut, last showing ~23.5bp of easing vs. ~22.5bp into the data.
  • Pricing is nowhere near fully retracing the hawkish move seen in the wake of the March CPI data. As a reminder, ~67bp of ’24 cuts were priced ahead of that data release.
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A contained dovish reaction in FOMC-dated OIS as CPI data prints in line to a touch softer than expected and the retail sales control group comes in on the soft side, coupled with a negative revision.

  • FOMC-dated OIS moves to show ~49bp of cuts through year end vs. ~46.5bp heading into the data. Post-data extremes of ~51bp were seen.
  • Sep FOMC pricing never fully discounted a 25bp cut, last showing ~23.5bp of easing vs. ~22.5bp into the data.
  • Pricing is nowhere near fully retracing the hawkish move seen in the wake of the March CPI data. As a reminder, ~67bp of ’24 cuts were priced ahead of that data release.