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SOFR Futures Update, Projected Rate Cuts Evaporating

STIR

SOFR futures are trading weaker across the strip, projected rate cuts later in the year continues to moderate.

  • Front month Jun'24 SOFR futures currently trading -0.005 at 94.7975 well after 3M SOFR settled +0.01532 to 5.16617 (+.00270/wk). The balance of Whites through Golds (SFRU3-SFRMH8) -0.080-0.040, Golds outperforming.
  • Fed funds implied 25bp hike at the next FOMC on June 14 holding at 5.9bp, while projected rate cuts later in the year continue to unwind:
  • At the moment, September cumulative is +2.7bp (-20.8bp last Tuesday) at 5.114%, November cumulative -13.9bp (-43.7bp last Tuesday) at 4.947%, Dec'23 cumulative -32.9bp (-69.0bp last Tuesday) at 4.757%, while Jan'24 cumulative is -51.4bp (-93.3bp Tuesday) at 4.573%.
  • Fed Terminal has climbed to 5.19% in Aug'23 this morning.

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