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SOFR Futures Update: November 25Bp Hike Fully Priced

STIR
  • This morning's sell-off in reaction to stronger than expected data (May durable goods orders, April home prices, May new home sales, and June consumer confidence) contributes to modest gain in projected rate hike expectations in the second half of 2023.
  • Front month Sep'24 SOFR futures are holding -0.015 at 94.64 after 3M SOFR settle bounced +0.00461 to 5.23932 (+.00062/wk). The balance of Whites (SFRZ3-SFRM4) are trading -0.040-0.075, Reds-Golds (SFRU4-SFRM8) -0.090-0.040, Reds underperforming.
  • Market confidence of a hike at the July 26 FOMC has climbed to 76% from 69% early Monday, implied rate of +19.1bp to 5.267%. September cumulative of +23.6bp at 5.313% while November is fully pricing in a 25bp hike with cumulative at 27.7 at 5.354%. Fed terminal at 5.355% in Nov'23 this morning.

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