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SOFR Futures Update Ahead June FOMC Minutes

STIR
  • Secured Overnight Financing Rate 3M futures update ahead this afternoon's June FOMC minutes release. Short end bid but off early highs, the balance of the strip extending lows.
  • Front month Sep'24 SOFR futures are currently trading +0.010 at 94.60 (3M SOFR settled +0.00802 to 5.27676 this morning). The balance of Whites (SFRZ3-SFRM4) are trading +0.030-0.020, Reds-Golds (SFRU4-SFRM8) steady to -0.065.
  • Projected rate hike holding steady after paring expectations slightly this morning: July 26 FOMC is 85% w/ implied rate of +21.3bp to 5.288%. September fully pricing hike w/ cumulative of +26.1bp at 5.335%, November cumulative climbs to 33bp at 5.405%, December cumulative 28.3bp at 5.358%. Fed terminal holding at 5.40% in Nov'23.

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