March 16, 2023 18:34 GMT
SOFR 2023 Implied Yields Holding Large Push Higher
- SOFR futures trade within a handful of ticks off session lows, aside from Dec’23-Jun’24 contracts which still sit as much as 0.10 above lows after larger earlier declines on headlines that major US banks were coordinating a rescue for First Republic.
- In yield space, the white pack has led the push higher (notably Sep’23 +44bps), with comparatively little increase in the reds (2H24 +11bps) and beyond.
- It sees the SFRH3/Z3 spread currently on track for the lowest close of the week (-0.63 from -0.90 yesterday) with the upshot is that 2024 inversion has built again (BAZ3/Z4 -0.81).