SOFR Futures Update

SOFR futures are trading weaker in the very short end after MN Fed President Kashkari commented on CNBC that the June rate decision is a “close call” for him, broadly reiterating his comments to WSJ published Sunday. While Kashkari told WSJ he is "open to the idea that we can move a little bit more slowly from here", the focus is on "I would object to any kind of declaration that we're done."

• Front month Jun'24 SOFR futures currently trading -0.0125 at 94.83 well after 3M SOFR settled -0.01262 to 5.15085 (+.09367 total last wk). The balance of Whites (SFRU3-SFRH4) are currently trading steady to +0.040, Reds through Golds (SFRM4-SFRMH8) +0.055-0.010 with Reds leading.
• Fed funds implied 25bp hike at the next FOMC on June 14 at 5bp, while projected rate cuts later in the year remain well off last week lows:
• At the moment, September cumulative is -4bp (-20.8bp last Tuesday) at 5.041%, November cumulative -22.5bp (-43.7bp last Tuesday) at 4.856%, Dec'23 cumulative -43.9bp (-69.0bp last Tuesday) at 4.645%, while Jan'24 cumulative is -64.5bp (-93.3bp Tuesday) at 4.443%.
• Fed Terminal currently at 5.145% in Jul'23 this morning.