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SOFR Futures Update

STIR
  • SOFR futures holding steady in the lead quarterly as chances of a rate hike next week remain low, while futures out the strip trade lower amid modest, mid-year tightening expectations.
  • Front month Jun'24 SOFR futures are trading steady at 94.745 after 3M SOFR settled -0.00905 earlier to 5.24154 (+.01120/wk). The balance of Whites (SFRU3-SFRH4) are trading -0.010-0.025, Reds-Golds (SFRM4-SFRH8) -0.065-0.035.
  • Chances of a 25bp hike next week holding below 25% with Fed funds implied at 6.2bp. Confidence in a midyear hike drifting inside the week's range with July cumulative +20bp to 5.283%, September cumulative at +17.2bp to 5.255.
  • Year end rate cut chances near zero with Dec'23 cumulative -6bp at 5.023, while Jan'24 cumulative is at -21bp to 4.873%. Fed terminal at 5.280% in Aug'23 this morning.

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