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SOFR Update: Projected Rate Cut Evaporating Post-CPI

STIR
  • Futures gapped lower following higher than expected Jan CPI inflation metrics. SOFR futures have rebounded slightly off lows but remain well offered: White pack (SFR44-SFRZ4) currently -0.045-0.155 vs. -0.055-0.210 low.
  • Projected rate cut pricing evaporating:
    • March 2024 chance of 25bp rate cut currently -10.1% vs. -18.3% late Monday w/ cumulative of -1.9bp at 5.307%
    • May 2024 at -33.0% vs. -53.0% late Monday w/ cumulative -10.2bp at 5.225%,
    • June 2024 -64.3% vs. -80.3% late Monday w/ cumulative -26.7bp at 5.060%.
    • Fed terminal at 5.3275% in Feb'24.

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