Quick Take: Pricing of Fed cuts has gone too far

We forecast no rate cuts by the Fed up to and including the July meeting, while the market prices 72bps. We therefore see value in paying July FOMC-dated Fed Funds swaps, currently trading at 4.61%.

What you will learn:

• In our view, with core PCE inflation at 3.5%, a severe economic contraction accompanied by a substantial rise in unemployment would be required for the Fed to enact such cuts.