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SOFR Futures Update

  • Secured Overnight Financing Rate 3M futures are trading mixed at the moment, the front end of the strip moderately weaker ahead tomorrow's key CPI inflation measure.
  • Front month Sep'24 SOFR futures are currently trading -0.010 at 94.575 (3M SOFR settled +0.00159 to 5.30109 (+.00262/wk)). The balance of Whites through Reds (SFRZ3-SFRM5) are trading -0.030-0.015, Greens-Golds (SFRU4-SFRM8) steady to +0.035.
  • Projected rate hike expectations holding steady: July 26 FOMC is 89% w/ implied rate of +22.2bp to 5.298%. September fully pricing hike w/ cumulative of +29bp at 5.365%, November cumulative of 34.9bp at 5.425%, December cumulative 30.5bp at 5.380%. Fed terminal holding at 5.43% in Nov'23.

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