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SOFR Update: March'24 Fully Pricing 25Bp Cut Post PPI

STIR
  • SOFR futures surged higher (SFRH4-SFRZ4 +0.035-0.060) after lower than expected PPI data for December.
  • Projected rate cuts for early 2024 gaining momentum: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -73.6% w/ cumulative of -19.5bp at 5.133%, May 2024 fully pricing in 25bp cut now, cumulative -45.5bp at 4.869%. June 2024 cumulative -73.9bp at 4.590%. Fed terminal at 5.315% in Feb'24.
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