📊Inflation Surprise Index Drops to Lowest Since 2020: Cable FX Macro

• U.S. May headline inflation came in line with estimates at 2.4% Y/y, the economists' survey saw the forecast ranging from 2.0% to 2.6%. Month-over-month metrics missed estimates across the board, both headline and core rose 0.1% M/m. The measure excluding volatile items rose 2.8% Y/y for a third straight month, however, this was slower than the survey median.

• The Cable FX Macro U.S. Inflation Surprise Index dropped to the lowest since 2020 at -51. Headline M/m CPI led the negative contribution to the index in May.

• We will have an updated dot plot next week, markets are now pricing a 68% chance of a rate cut in October. This means that there is a total of two rate cuts priced this year.