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SOFR Futures Update

STIR FUTURES

Off the top end of the range, SOFR futures are still trading broadly higher in the aftermath of Wednesday's 25bp hike. Additional support from ongoing regional bank concerns (PacWest under pressure this morning):

  • Front month Jun'24 SOFR futures currently +0.070 at 95.005 well after 3M SOFR settled +0.01323 to 5.07270. The balance of White-Red SOFR futures (SFRU3-SFRH5) are currently trading +0.065-0.165, outpacing the balance of the strip trading +0.110-0.065.
  • Fed funds implied move for the next FOMC on June 14 is currently at -3.1bp, while projected rate cuts for late 2023 are gaining: November cumulative currently --55.6bp at 4.500, Dec'23 cumulative -80.4bp at 4.252, while Jan'24 cumulative is just over a full point at -104bp at 4.008.
  • Fed Terminal currently at 5.05% in Jun'23 this morning.
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