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SOFR Futures Update

STIR
  • SOFR futures holding weaker in the short end as a projected 25bp rate hike at one of the next three FOMC meetings remains: Front month Jun'24 SOFR futures are trading -0.005 at 94.7825 after 3M SOFR settled +0.01341 to 5.22025. The balance of Whites (SFRU3-SFRH4) are trading -0.010 to steady, Reds-Golds (SFRM4-SFRH8) +0.015-0.035.
  • Market confidence of a hike at the July 26 FOMC is appr 72% with an implied rate of +18bp to 5.262%, September and November pricing in appr 88% with cumulatives of +22.1bp and 21.4 respectively at 5.3-5.295%.
  • Dec'23 cumulative running near 13bp at 5.207%, Fed terminal at 5.30% in Oct'23 this morning.

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