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SOFR Futures Update: Chances of Hike in Jul or Sep Gaining

  • SOFR futures are trading mostly weaker, carry over after last Friday's surge in May jobs (+339k vs. +195k est) and the Fed now in media blackout concerning monetary policy ahead next week's announcement.
  • Front month Jun'24 SOFR futures are currently steady at 94.7225 even after 3M SOFR settled +0.02289 to 5.25323 (-.03340 total last wk). The balance of Whites (SFRU3-SFRH4) are trading -0.020-0.070, Reds through Golds (SFRM4-SFRMH8) are trading -0.080-0.050.
  • Projected policy moves near steady for next week's announcement while chances for a hike in July or Sep gain slightly.
  • Fed funds implied 25bp hike on the June 14 FOMC at 6.6bp, July cumulative +20.9 to implied rate of 5.293%. September cumulative at +19.1. Chances of a 25bp cut at year end continue to ebb with Dec'23 cumulative -5.4bp at 5.035, Jan'24 only pricing in 85% chance of a 25bp cut now. Fed Terminal at 5.295% in Aug'23 this morning.

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