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Tempering 2024 Rate Cut Projections

US TSYS
  • Tsy futures finishing weaker, near second half lows on moderate volumes (TYH4 over 1.4M). Mar'24 10Y futures currently trading 110-08.5 last, -13 vs. 110-03.5 low -- well above technical support of 109-02.5 (20-day EMA), the trend direction still bullish with today's pullback considered corrective. Curves mostly flatter (3M10Y +8.192 at -111.818; 2Y10Y -2.461 at -36.949).
  • Tsys had pared early losses, marked session highs after Factory Orders receded more than expected (-3.6% vs. -3.0 est, prior down-revised to 2.3% from 2.8%), Durables in line at -5.4%.
  • Futures reversed course soon after, unwinding a portion of Friday's rally as markets tempered 2024 rate cut projections ahead of Friday's headline employment data: December at -.3bp at 5.333%, January 2024 cumulative -3.3bp at 5.302%, March 2024 pricing in -54.2% chance of a rate cut with cumulative at -16.8bp at 5.167%, May 2024 pricing in -66.0% (-71.2% this morning) with cumulative -33.3bp at 5.002%.
  • Tuesday Data Calendar includes S&P PMIs, JOLTS and ISMs. Fed speakers in Blackout through December 14, day after the final COMC rate annc for 2023.

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