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SOFR Futures Update

STIR FUTURES

Front end SOFR futures trading firmer, still well off Tuesday's highs that saw year-end implied rate cut climb to -50bp.

  • Front month Jun'24 SOFR futures currently +0.015 at 94.915 after 3M SOFR settled +0.03787 to 5.08132 (+.01357/wk). The balance of SOFR Whites through Reds (SFRU3-SFRH5) are currently trading +0.025-0.060.
  • After Tuesday's rally, Fed funds implied hike for May'23 continue to not fully price in a 25bp hike for next week, currently at 22.6bp, while Jun'23 cumulative does: +28bp at 5.109%
  • Meanwhile, projected rate cuts for late 2023 remain well below Tuesday's highs: November cumulative currently -10.8bp (-31.1bp Tue) at 4.721, Dec'23 cumulative -32.3bp (-52.1bp Tue) at 4.505. Meanwhile, Jan'24 cumulative at -55.1bs vs. a full three 25bp cuts late Tuesday.
  • Fed Terminal currently at 5.10% in Jul'23 this morning.
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