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SOFR Futures Update

STIR

SOFR futures are trading weaker in the short end as projected rate cuts later in the year remain soft.

  • Front month Jun'24 SOFR futures are currently trading -0.0175 at 94.7675 well after 3M SOFR settled +0.02538 to 5.19155 (+.02808/wk). Reds through Golds (SFRM4-SFRMH8) +0.015-0.025.
  • Fed funds implied 25bp hike at the next FOMC on June 14 climbs to 8bp, while projected rate cuts later in the year remain well off last week's lows.
  • At the moment, September cumulative is +4bp (-20.8bp last Tuesday) at 5.13%, November cumulative -14.4bp (-43.7bp last Tuesday) at 4.946%, Dec'23 cumulative -34.8bp (-69.0bp last Tuesday) at 4.742%, while Jan'24 cumulative is -54.7bp (-93.3bp Tuesday) at 4.543%.
  • Fed Terminal has climbed to 5.22% in Aug'23 this morning.

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