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Update Post-NFP React, Projected 2024 Rate Cuts Consolidate

US TSYS
  • Tsy futures have scaled back appr half the initial post-data sell-off, markets still digesting the down-revisions to prior and unrounded releases.
  • Mar'24 10Y futures currently trading 110-10.5 last, -26.5 vs. 110-00.5 low. Initial support well below at 109-21+ 20-day EMA. Resistance at 111-09.5, Thursday's high. Curves mixed (3M10Y +8.486 at -116.893; 2Y10Y -0.095 at -45.000).
  • Projected rate cuts for early 2024 are consolidating: December flat at 5.333%, January 2024 cumulative -1.2bp at 5.318%, March 2024 chance of rate cut at -51.8% vs. -55.2% pre-data with cumulative of -14.1bp at 5.188%, May 2024 -64.4% vs. -70.1% pre-data, cumulative -30bp at 5.030%. Fed terminal at 5.335% in Feb'24.

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