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SOFR Update: Early 2024 Projected Rate Cut Resurfaces

STIR
  • SOFR futures surge higher (SFRZ3-SFRU4 +0.040-0.205) after lower than expected CPI inflation data for October (YoY core at 4.0% -- lowest in 25 months) gives the Fed the freedom to hold rates steady in December.
  • Projected rate cut resurfaces in early 2024: December at 0bp at 5.338%, January 2024 cumulative 2.2bp (7.1bp pre-CPI) at 5.347%, March 2024 pricing in -28.1% chance of a rate cut (-16% pre-CPI) with cumulative at -6bp at 5.272%, May 2024 cumulative -18.4bp at 5.149%.
  • Fed terminal has fallen to 5.345% in Feb'24 vs. 5.405% pre-CPI

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