SOFR calendar spreads show the market is pricing around 86bps of easing this year, in other words, traders now see three rate cuts on the table from September to December
The chart below shows calendar spreads were pricing a little less of two rate cuts for this year, just one month ago
In overnight index swaps, there is 100% chance of a 25bps rate cut being delivered every single Fed meeting into the end of the year. This compares to last week when only 62bps of easing were priced in
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