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SOFR Futures Update, Projected Rate Hike Steady

STIR
  • SOFR futures holding mildly weaker in the lead quarterly as "July is live" comment from Fed Chair Powell yesterday continues to sink. Futures
  • The balance of Whites (SFRU3-SFRH4) are trading mildly higher but lagging Reds-Golds (SFRM4-SFRH8 +0.055-0.090) as markets keep the prospect of additional 25bp hikes later this year alive.
  • Chances of a 25bp hike next at the July 26 FOMC is approximately 67% with Fed funds implied at 16.7bp. September cumulative at +20.7bp to 5.288%, November cumulative 19.7bp to 5.277%. while December cumulative recedes to 10.8bp to 5.190%. At the moment, Fed terminal at 5.280% in Oct'23.

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