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SOFR Futures Surge Higher, Dec'23 Implied Rate Cut at -51.1bp

STIR FUTURES

SOFR futures continue to rally, Reds (SFRM4-SFRH5) trading +0.300 to +.340 at the moment as implied year end rate cuts gain momentum, spill over the 2024.

  • Fed funds implied hike for May'23 has receded to at 17.9bp vs. 22.6bp this morning, Jun'23 +19.8 bps vs. +27.1bp cumulative at 5.027%
  • Projected rate cuts later in the year are back to April 14 levels before retail sales spurred a sell-off in rates. November cumulative at -31.1bp at 4.530, Dec'23 cumulative -52.1bp (-32.8 earlier) at 4.308.
  • Meanwhile, Jan'24 cumulative has grown to three 25bp cuts to 4.065%.
  • Fed Terminal currently at 5.015% in June vs. 5.09% in Jul'23 this morning.

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