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SOFR Futures Update


SOFR futures are trading mixed, short end recovering slightly from Thursday's lows while markets still considering likely deluge of bill issuance following a debt ceiling increase as the Treasury moves to increase cash buffers.

  • Front month Jun'24 SOFR futures currently trading +0.005 at 94.815 well after 3M SOFR settled +0.03411 to 5.16347 (+.09367/wk). The balance of Whites through Reds (SFRU3-SFRH5) is currently trading steady to +0.010, Greens through Golds (SFRM5-SFRMH8) -0.005-0.015.
  • Fed funds implied 25bp hike at the next FOMC on June 14 at 9.2bp, while projected rate cuts later in the year remain well off week lows:
  • At the moment, September cumulative is -2.8bp (-20.8bp Tuesday) at 5.045%, November cumulative -21.2bp (-43.7bp Tuesday) at 4.861%, Dec'23 cumulative -42.3bp (-69.0bp Tuesday) at 4.650%, while Jan'24 cumulative is -62.6bp (-93.3bp Tuesday) at 4.448%.
  • Fed Terminal currently at 5.165% in Jul'23 this morning.

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