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SOFR Futures Update

STIR

SOFR futures are trading weaker, likely anticipating a deluge in bill issuance in the aftermath of a debt ceiling increase as the Treasury moves to increase cash buffers.

  • Front month Jun'24 SOFR futures currently trading -0.010 at 94.855 well after 3M SOFR settled +0.01703 to 5.12936 (+.05956/wk). The balance of the futures strip (SFRU3-SFRH7) is currently trading -0.005-0.055, Reds (SFRM4-SFRH5) underperforming: -0.045-0.055.
  • Fed funds implied move for the next FOMC on June 14 inches up to 5.7bp, while projected rate cuts later in the year continue to bounce off week lows:
  • At the moment, September cumulative is -11.1bp (-20.8bp Tuesday) at 4.965%, November cumulative -30.6bp (-43.7bp Tuesday) at 4.771%, Dec'23 cumulative -52.5bp (-69.0bp Tuesday) at 4.552%, while Jan'24 cumulative is -72.9bp (-93.3bp Tuesday) at 4.347%.
  • Fed Terminal currently at 5.13% in Jul'23 this morning.

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