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SOFR Futures Update: Bouncing Off Week's Low Despite Benchmark Rise

STIR

SOFR futures are bouncing off Thursday's week lows, the short end of the strip outperforming.

  • After starting the week near 94.87, front month Jun'24 SOFR futures are currently trading +0.0375 at 94.6675 even after 3M SOFR settled +0.03846 to 5.26374 (+.10027/wk). The balance of Whites (SFRU3-SFRH4) are trading +0.045-0.202, Reds through Golds (SFRM4-SFRMH8) are trading +0.005-0.015.
  • Projected policy moves have risen to the top of the range since Wednesday's FOMC minutes showed officials split on the early May hike: Fed funds implied 25bp hike at the next FOMC on June 14 is up to 9.4bp.
  • September cumulative is +19.5bp at 5.283%, November cumulative -2bp at 5.070%, Dec'23 cumulative -18.5bp at 4.903%, while Jan'24 cumulative is -34.5bp (vs. over a full point earlier in the month) at 4.743%.
  • Fed Terminal has climbed to 5.285% in Aug'23 this morning.
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