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SOFR Futures Update: Projected Cuts Recede Slightly

STIR

SOFR futures are trading softer, lower half of narrow overnight range across the strip, projected rate cuts continue to consolidate from last Thursday's lows.

  • Front month Jun'24 SOFR futures currently trading -0.005 at 94.920 well after 3M SOFR settled +0.02287 to 5.08967 (+.02807 total last wk). The balance of the futures strip (SFRU3-SFRH7) is currently trading -0.005-0.025.
  • Fed funds implied move for the next FOMC on June 14 is near flat at 4.1bp. while projected rate cuts recede with September no longer pricing in the first 25bp cut.
  • At the moment, September cumulative is -19.8bp (-25.7bp last Friday) at 4.868%, November cumulative -42.6bp (-59.1bp last Thu) at 4.640%, Dec'23 cumulative -66.8bp (-85.3bp Thu) at 4.397%, while Jan'24 cumulative climbs to -89.8bp (110.2bp Thu) at 4.168%. Fed Terminal currently at 5.095% in Ju6'23 this morning.

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