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SOFR Futures Update: Projected Rate Cuts Moderating

STIR

SOFR futures are trading weaker, at or near overnight lows across the strip, projected rate cuts moving off Thursday's lows.

  • Front month Jun'24 SOFR futures currently trading -0.005 at 94.940 well after 3M SOFR settled -0.01954 to 5.06680 (+.02807/wk). The balance of the SOFR futures strip (SFRU3-SFRH7) are currently trading -0.020-0.030.
  • Fed funds implied move for the next FOMC on June 14 is near flat at 2.4bp. Projected rate cuts, on the other hand, have moderated after nearing last week's lows following yesterday's PPI.
  • At the moment, the first projected rate cut is in September: cumulative -25.7bp at 4.807%, November cumulative -49bp (-59.1bp Thu) at 4.569%, Dec'23 cumulative -73.3bp (-85.3bp Thu) at 4.325%, while Jan'24 cumulative at -97.5bp (110.2bp Thu) at 4.085%. Fed Terminal currently at 5.075% in Jun'23 this morning.
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