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SOFR Futures Update

STIR FUTURES

SOFR futures trading firmer across the strip, save the lead quarterly as it scales back some of Tuesday's gap bid (driven by JOLTS data, debt limit concerns and tanking bank stocks):

  • Front month Jun'24 SOFR futures currently -0.010 at 94.975 after 3M SOFR settled -0.05194 to 5.05947. The balance of SOFR futures are currently trading +0.015-0.025.
  • Fed funds implied hike for this today's FOMC is currently at 22bp vs. 19.5 low Tuesday, while Jun'23 cumulative drifts around +21.5bp at 5.045%
  • Projected rate cuts for late 2023 are back near last week's highs: November cumulative currently -21.9bp (-31.1bp on 4/25) at 4.611, Dec'23 cumulative -42.5bp (-52.1bp on 4/25) at 4.405, while, Jan'24 cumulative is at -64.2bp vs. a full three 25bp cuts last week.
  • Fed Terminal currently at 5.055% in Ju2'23 this morning.
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