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SOFR Futures Update

STIR

SOFR futures are trading off lows in the short end following the BOE 25bp rate hike annc, levels at or near overnight highs across the strip.

  • Front month Jun'24 SOFR futures currently trading +0.005 at 94.970 well after 3M SOFR settled -0.01177 to 5.08634 (+.04761/wk). The balance of White-Red SOFR futures (SFRU3-SFRH5) are currently trading +0.005-0.030, the balance of the strip trading +0.045-0.030.
  • Fed funds implied move for the next FOMC on June 14 is near flat at -.2bp, while projected rate cuts for latter half of 2023 climbing back near last week's pre-NFP highs: September cumulative -26.7bp at 4.798%, November cumulative -52.2bp (-58.7bp last wk) at 4.544%, Dec'23 cumulative -78.7bp (-84.3bp last wk) at 4.285%, while Jan'24 cumulative is running at -102.6bp at 4.040%. Fed Terminal currently at 5.07% in Jun'23 this morning.

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