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Post-SOFR Reference Rate Settles

STIR
  • Front month Jun'23 SOFR futures trading firmer (94.935, +.030; 94.945 high) after the 3M SOFR benchmark climbed +0.01074 to 5.07877 (+.09561 total last wk) earlier.
  • The balance of Whites through Reds (SFRU3-SFRH5) extending highs (SFRM4 +.130 at 96.55).
  • Fed funds implied hike for May'23 at 22.6bp, Jun'23 +27.1bp cumulative at 5.100%, while projected rate cuts later in the year gains traction: Dec'23 cumulative -36.2bp (-32.8 earlier) at 4.468. Fed Terminal currently at 5.09% in Jul'23.

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