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SOFR Futures Update

STIR
  • SOFR futures continue to inch lower as chances for a mid-year 25bp rate hike gathers momentum after Bank of Canada's surprise hike yesterday.
  • Front month Jun'24 SOFR futures are trading -0.015 at 94.730 after 3M SOFR settled +0.01251 higher earlier to 5.25059 (+.02025/wk). The balance of Whites (SFRU3-SFRH4) are trading -0.015-0.030, Reds-Golds (SFRM4-SFRH8) -0.030-0.040.
  • Still low, chances of a 25bp hike next week are gaining (appr 38% vs. 25% yesterday) with Fed funds implied at 9bp. Higher confidence in a midyear hike with July cumulative +22.2bp to 5.293%, September cumulative at +20 to 5.270.
  • Year end rate cut chances near zero with Dec'23 cumulative -3.6bp at 5.040, while Jan'24 cumulative at climbs to -18.6bp (-29.4bp early Tue) to 4.890%. Fed terminal at 5.290% in Aug'23 this morning.

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