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SOFR Futures Update

STIR FUTURES

Front end SOFR futures trading moderately lower, continuing to pare back Tuesday's runaway bid that saw year-end implied rate cut climb to -50bp.

  • Front month Jun'24 SOFR futures currently +0.030 at 94.955 after 3M SOFR settled -0.00197 to 5.04345 (+.06029/wk). The balance of SOFR Whites through Reds (SFRU3-SFRH5) are currently trading -0.045-0.025.
  • Fed funds implied hike for May'23 not fully pricing in a 25bp hike for next, currently at 20.3bp, while Jun'23 cumulative is +25.3b at 5.081%
  • Meanwhile, projected rate cuts for late 2023 have receded from Tuesday's highs: November cumulative currently -18.9bp (-31.1bp Tue) at 4.640, Dec'23 cumulative -41.4bp (-52.1bp Tue) at 4.464. Meanwhile, Jan'24 cumulative at -65.1bs vs. a full three 25bp cuts late Tuesday.
  • Fed Terminal currently at 5.07% in Jul'23 this morning.

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