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SOFR Futures Update, Turning Weaker

STIR

Early support in SOFR futures is evaporating, currently trading steady to mildly weaker through Jun'25, long end of the strip still trading mildly firmer. Front month Jun'24 SOFR futures are holding steady at 94.7325 after 3M SOFR settled -0.01439 to 5.23884 (+.00850/wk). The balance of Whites through Reds (SFRU3-SFRH5) are trading -0.015-0.030, Blues-Golds (SFRM6-SFRH8) +0.005-0.015.

Market is still assigning a low probability of a 25bp hike next week (appr 25%) with Fed funds implied at 6.3bp, July cumulative +19.4bp to 5.278%, September cumulative at +16.5 to 5.249.
Chances of a 25bp cut at year end remain soft with Dec'23 cumulative -11.5bp at 4.968, while Jan'24 cumulative slips to -29.4bp to 4.783%. Fed Terminal at 5.280% in Aug'23 this morning.

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