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SOFR Futures Update: Projected Rate Moves Holding Steady

STIR
  • SOFR futures are inching lower, latest confirmation of additional bill supply from Tsy Sec Yellen contributing while the long end of the strip outperforms.
    Front month Jun'24 SOFR futures are holding steady at 94.745 after 3M SOFR settled -0.00076 to 5.23808 (+.00774/wk)
  • Front month Jun'24 SOFR futures are holding steady at 94.745 after 3M SOFR settled -0.00076 to 5.23808 (+.00774/wk). The balance of Whites through Greens (SFRU3-SFRH6) are trading steady to -0.035, Greens-Golds (SFRM5-SFRH8) steady to +0.015.
  • Market is still assigning a low probability of a 25bp hike next week (appr 25%) with Fed funds implied at 6.3bp, July cumulative +19.6bp to 5.273%, September cumulative at +16.6 to 5.243.
  • Chances of a 25bp cut at year end are receding again with Dec'23 cumulative -7.1bp at 5.006, while Jan'24 cumulative at -23.9bp (-29.4bp early Tue) to 4.843%. Fed terminal at 5.275% in Aug'23 this morning.

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