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SOFR Futures Update: Late 2023 Projected Rate Cuts Gain Slightly

STIR

SOFR futures are trading firmer, upper half of wider overnight range with projected rate cuts gain slightly after consolidating slightly Monday.

  • Front month Jun'24 SOFR futures currently trading +0.010 at 94.9175 well after 3M SOFR settled +0.00825 to 5.09792 (+.03112/wk). The balance of the futures strip (SFRU3-SFRH7) is currently trading +0.020-0.050, Blues (SFRM5-SFRH6) leading.
  • Fed funds implied move for the next FOMC on June 14 is near flat at 2.9bp. while projected rate cuts later in the year gain slightly.
  • At the moment, September cumulative is -20.3bp (-17.4bp late Monday) at 4.869%, November cumulative -43.7bp (-40.7bp late Mon) at 4.635%, Dec'23 cumulative -68.6bp (-65.2bp Mon) at 4.387%. Meanwhile, Jan'24 cumulative is -92.7bp (-88.9bp Mon) at 4.142%. Fed Terminal currently at 5.09% in Jul6'23 this morning.
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