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SOFR Update: Projected Year-End Cuts Recede Post-FOMC

STIR
  • Treasury futures remain well bid but off highs after the expected steady FOMC rate announcement, focus on dot plot from one cut in 2024 (vs. two exp) vs. three in March.
  • In turn - rate cut projections recede vs. pre-FOMC levels (*): July'24 at -10% (-14%) w/ cumulative at -2.5bp (-3.8bp) at 5.302%, Sep'24 cumulative -17bp (-20.9bp), Nov'24 cumulative -26.8bp (-31.7bp), Dec'24 -45.5bp (-50.7bp).

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