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Post-Data SOFR Futures Update

STIR
  • Secured Overnight Financing Rate 3M futures extending session lows after stronger than expected GDP (2.0% vs. 1.4% est) and first decline in weekly claims in weeks (239k vs. 265k prior/rev). In-turn, projected rate hike(s) gaining traction.
  • Front month Sep'24 SOFR futures are currently trading -0.045 at 94.59 (3M SOFR settled -0.00443 to 5.53343% this morning). The balance of Whites (SFRZ3-SFRM4) are trading -0.110-0.170, Reds-Golds (SFRU4-SFRM8) -0.165-0.085.
  • Projected rate hike gaining: July 26 FOMC has climbed to 84% w/ implied rate of +21bp to 5.278%. September fully pricing hike w/ cumulative of +27.1bp at 5.34%, November cumulative climbs to 33.6 at 5.405%, December cumulative 29.6 at 5.365%. Fed terminal has climbed to 5.445% in Nov'23 this morning.

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