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SOFR Futures Update

STIR FUTURES

SOFR futures are trading broadly lower across the strip, Front month Jun'24 SOFR futures currently trading -0.010 at 94.95 well after 3M SOFR settled +0.03345 to 5.007218 (-.04259 total last wk). The balance of White-Red SOFR futures (SFRU3-SFRH5) are currently trading -0.055-0.025, the balance of the strip trading -0.025-0.005.

  • Fed funds implied move for the next FOMC on June 14 is static at +1.5bp, while projected rate cuts for late 2023 are paring back from last week's highs: November cumulative -46.8bp (-58.7bp last wk) at 4.600, Dec'23 cumulative -70.3bp (-84.3bp last wk) at 4.364, while Jan'24 cumulative is under a full point at -93.5bp at 4.133. Fed Terminal currently at 5.075% in Jun'23 this morning.

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