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Fed Speak Buoys Projected Rate Cut Pricing

STIR
  • Fed speakers supported short end rates today (TUM4 +1.5 at 102-03.12; SOFR Jun'24-Mar'25 +0.025-0.030): Cleveland Fed Mester ('24 voter but retiring in June) won't rule out a rate cut in June, while SF Fed Daly said three rate cuts in 2024 is still a "reasonable baseline".
  • In turn, projected rate cut pricing rebounded from morning lows: May 2024 steady at -6.7% w/ cumulative -1.7bp at 5.312%; June 2024 -59.7% vs -53.3% earlier w/ cumulative rate cut -16.6bp at 5.163%. July'24 cumulative at -24.6bp vs -23.6bp earlier, Sep'24 cumulative -41.9 vs. -40.0bp

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