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SOFR Futures Off Tuesday High, Yr End Implied Cuts Moderate

STIR FUTURES

Front end SOFR futures rebounding after scaling back a small portion of late Tuesday's runaway bid this morning.

  • Front month Jun'24 SOFR futures currently +0.010 at 95.01 vs. 94.98 (-.020) after 3M SOFR settled -0.03335 to 5.04542 (+.06226 total last wk). SOFR Red pack (SFRM4-SFRH5) that traded over +.320 Tuesday are currently steady to +/-0.005.
  • Late Tuesday rally saw Fed funds implied hike for May'23 has recede and not much of a change this morning: at 19.8bp, Jun'23 +22.6 bps cumulative at 5.061%
  • Meanwhile, late '23 projected rate cuts are back to April 14 levels, but off yesterday's extremes: November cumulative at -24.4bp (-31.1bp Tue) at 4.585, Dec'23 cumulative -47.4bp (-52.1bp Tu) at 4.355. Meanwhile, Jan'24 cumulative had grown to three 25bp cuts to 4.065% late Tuesday currently -71.6bp.
  • Fed Terminal currently at 5.045% in Jun/Jul'23 this morning.
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