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SOFR Update: Jun'24 Rate Cut No Longer Priced in Post-PPI

STIR
  • Tsy futures extend lows following higher than expected PPI inflation measures, back to late Nov'24 as Mar'24 10Y futures breach technical support of 109-17/16+ (50.0% of Oct 19 - Dec 27 climb / Low Feb 14) to 109-15 low. Next support 109-05+ Low Nov 28.
  • Projected rate cut pricing continues to consolidate -- Jun no longer fully pricing 25bp cut:
    • March 2024 chance of 25bp rate cut currently -9.06% vs -10.6% pre-data w/ cumulative of -2.4bp at 5.305%;
    • May 2024 at -21.7% vs. -28.9% pre-data w/ cumulative -7.8bp at 5.251%;
    • June 2024 -55.3% vs. -65.0% pre-data w/ cumulative cut -22.3bp at 5.106%.
    • Fed terminal at 5.33% in Feb'24

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