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SOFR Futures Update

STIR
  • SOFR futures holding steady in the lead quarterly as chances of a rate hike today very low, futures out the strip trade firmer post-PPI as expectations of a midyear hike cools.
  • Front month Jun'24 SOFR futures are trading steady at 94.78, 3M SOFR settled -0.03621 earlier to 5.21811 (-.02343/wk). The balance of Whites (SFRU3-SFRH4) are trading +0.015-0.075, Reds-Golds (SFRM4-SFRH8) +0.110-0.050.
  • Chances of a 25bp hike next approximately 10% with Fed funds implied at 2.8bp. Expectation of midyear hike inside the week's range with July cumulative +17.7bp to 5.248%, September cumulative at +19.9bp to 5.270.
  • Dec'23 cumulative at 3.8bp at 5.109% after pricing out a small chance of a cut yesterday. Fed terminal at 5.250% in Sep'23 this morning.

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