OIS Moves Towards Pricing 50bp Of Cuts Through Year-End Post-CPI

The softer-than-expected run of CPI data (punctuated by a downtick in the M/M supercore measure) results in a dovish repricing in FOMC-dated OIS.

• That leaves ~47bp of cuts priced through year end vs. ~37.5bp ahead of the release, with the market not willing to fully price 50bp of ’24 cuts on the move, stalling at ~48bp.
• Further forwards, the first 25bp cut is now once again fully discounted through the November FOMC, with ~30bp of easing showing through that juncture vs. ~23bp pre-release.
• The strip also prices ~80% odds of a cut through the Sep FOMC vs. ~60% heading into the CPI data.
• Digestion of the data is set to dominate ahead of the FOMC decision, with hawkish adjustments to the dot plot expected alongside unchanged policy settings later today.
• A reminder that Fedspeak has turned more hawkish in the intra-meeting period, so it will be interesting to see how today’s data factored into their deliberations.
• Our full preview of the decision can be found here.