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SOFR Futures Update: Projected Rate Moves Static Ahead Jobs Data

STIR
  • SOFR futures are trading mildly weaker ahead this morning's key employment data (+195k mean estimate jobs gain vs. +253k prior) with the Fed entering media blackout concerning monetary policy tonight at midnight.
  • Front month Jun'24 SOFR futures are currently trading -0.0175 at 94.74 even after 3M SOFR settled -0.04604 to 5.23034 (-.03340/wk). The balance of Whites (SFRU3-SFRH4) are trading steady to -0.010, Reds through Golds (SFRM4-SFRMH8) are trading -0.010-0.020.
  • Modest dip in projected policy moves following Thursday's mixed Fed speak: non-voter StL Fed pres Bullard commented on need for further hikes, while Philly Fed Harker reprised his dovish comments from Wed.
  • Fed funds implied 25bp hike on the June 14 FOMC at 7.5bp, July cumulative +17.6 to implied rate of 5.258%. September and November cumulative at +11.4 and -3.9 respectively while Dec'23 cumulative just below a quarter point cut at -21.8bp at 4.863%. Fed Terminal holding at 5.26% in Aug'23 this morning.

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