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More Sep'24 SOFR Selling Ahead FOMC, Projected Cuts Still Priced

STIR FUTURES
  • Another 35,000 SFRU4 futures sold at 94.885 (+0.070) ahead the FOMC at the top of the hour. Adds to -25k earlier. Heavy overall volumes since this morning's lower than expected CPI inflation data, SFRU4 over 600k, SFRZ4 over 660k at the moment.
  • Despite the sales, rate cut projections hold near recent highs vs. pre-data levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -14% (-8%) w/ cumulative at -3.8bp (-2.3bp) at 5.293%, Sep'24 cumulative -20.2bp (-14.8bp), Nov'24 cumulative -30.7bp (-22bp), Dec'24 -50.1bp (-39.9bp).

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