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Post-Auction Rally Update: Projected Rate Cuts Gain Momentum

US TSY FUTURES
  • Treasury futures extended highs after the $58B 5Y Note auction traded 1.1bp through (3.801% vs. 3.812% WI), Mar'24 10Y at taps 113-10.5 (+19.5), breaching initial technical resistance of 113-04+ (High Dec 21) with focus on 113-12+ (1.764 proj of the Oct 19 - Nov 3 - Nov 13 price swing).
  • New 5-month low for 10Y yield at 3.7907%, 5Y yield 3.7919%.
  • Projected rate cuts for early 2024 gains momentum on the rally: January 2024 cumulative -4.5bp at 5.283%, March 2024 chance of rate cut -83.9% vs. -80.5% this morning w/ cumulative of -25.5bp at 5.073%, May 2024 pricing in a full 25bp cut with cumulative -52.4bp at 4.804%, June'24 cumulative -78.8bp at 4.539%. Fed terminal at 5.325% in Jan'24.

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