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SOFR Futures Update

STIR

SOFR futures are trading mildly lower for the most part, the long end of the strip outperforming.

  • Front month Jun'24 SOFR futures currently trading -0.010 at 94.885 well after 3M SOFR settled +0.01441 to 5.11233 (+.04253/wk). The balance of the futures strip (SFRU3-SFRH7) is currently trading -0.005-0.025, Golds (SFRM6-SFRH7) steady to +/-0.005.
  • Fed funds implied move for the next FOMC on June 14 holding near flat at 4.4bp. while projected rate cuts later in the year are well off Tuesday's lows.
  • At the moment, September cumulative is -15.1bp (-20.8bp Tuesday) at 4.923%, November cumulative -35.3bp (-43.7bp Tuesday) at 4.721%, Dec'23 cumulative -57.5bp (-69.0bp Tuesday) at 4.493%. Meanwhile, Jan'24 cumulative is -80.1bp (-93.3bp Tuesday) at 4.267%.
  • Fed Terminal currently at 5.105% in Jul6'23 this morning.
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