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SOFR Futures Update

STIR
  • SOFR futures trading firmer, recovering slightly from last week's lows for the month as a projected rate hike at one of the next three FOMC meetings moderates.
  • Front month Jun'24 SOFR futures are holding +0.005 at 94.7875 after 3M SOFR settled -0.00399 to 5.23471 (+.03186 total last wk). The balance of Whites (SFRU3-SFRH4) are trading +0.010-0.030, Reds-Golds (SFRM4-SFRH8) +0.040-0.065.
  • Market confidence of a hike at the July 26 FOMC steady around 69% with an implied rate of +17.3bp to 5.253%. September cumulative of +21.3bp at 5.293% while November cumulative slips to 23.4 at 5.313% after pricing in just over a full 25bp hike last Friday. Fed terminal at 5.315% in Nov'23 this morning.

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