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SOFR Update

STIR FUTURES

Short end rates briefly projected a full 25bp rate cut in December following this morning's large drop in ISM Factory prices paid (44.2 from 53.2 prior, 52.3 exp) and slightly lower than expected Mfg figure (46.9 vs. 47.0 est).

  • Levels have moderated slightly since: chances of a 25bp hike on the June 14 FOMC is around 27% with Fed fund futures implied change at 6.9bp, July cumulative down to +16.9bp (vs. 19.1bp on the open) to an implied rate of 5.25%. September and November cumulative at +10.1bp and -4.3 respectively while Dec'23 cumulative is currently at -21.4bp vs. -25.6 post-ISM, at 4.862%.
  • Meanwhile, Jan'24 slipped to -46.9bp low following the ISM data, is currently at -41.5bp at 4.660%.
  • Fed Terminal currently at 5.25% in Aug'23.

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