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SOFR Futures Update

STIR FUTURES

SOFR futures are trading broadly lower across the strip. Rate are scaling back from Thursday's sharp rally that saw implied rate cuts surge the day after the FOMC hiked 25bp to 5.0-5.25% range (additional support from ongoing regional bank concerns).

  • US rates started to pare back from highs (SOFR Reds gained as much as +0.420) later Thursday as bank stocks recovered some lost ground - and carrying over to today.
  • Front month Jun'24 SOFR futures currently -0.055 at 94.985 well after 3M SOFR settled -0.03397 to 5.03873 (-.04259/wk). The balance of White-Red SOFR futures (SFRU3-SFRH5) are currently trading -0.135-0.085, the balance of the strip trading -0.085-0.065.
  • Fed funds implied move for the next FOMC on June 14 is static at -1.4bp, while projected rate cuts for late 2023 have November cumulative -58.7bp at 4.489, Dec'23 cumulative -84.3bp at 4.233, while Jan'24 cumulative is just over a full point at -109.3bp at 3.983. Fed Terminal currently at 5.065% in Jun'23 this morning.
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