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SOFR Futures Update

STIR FUTURES

Front end SOFR futures trading steady to mixed, short end mildly weaker:

  • Front month Jun'24 SOFR futures currently -0.015 at 94.90 after 3M SOFR settled +0.00797 to 5.08929. The balance of SOFR Whites through Reds (SFRU3-SFRH5) are currently trading -0.020-0.005 vs. +0.005-0.015 in Greens-Golds.
  • Fed funds implied hike for this Wednesday's FOMC currently at 23.1bp, while Jun'23 cumulative climbs to +29.3bp at 5.123%
  • Projected rate cuts for late 2023 remain well below last Tuesday's highs: November cumulative currently -7.4bp (-31.1bp Tue) at 4.756, Dec'23 cumulative -28.0bp (-52.1bp Tue) at 4.550, while, Jan'24 cumulative holds at -50.2bs vs. a full three 25bp cuts late Tuesday.
  • Fed Terminal currently at 5.115% in Jul'23 this morning.
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