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SOFR Futures Update: Projected Rate Cuts Evaporating

STIR

SOFR futures are trading weaker in the short end as projected rate cuts later in the year continue to ebb: no longer pricing in a full 25bp cut in December (.88%).

  • Front month Jun'24 SOFR futures are currently trading -0.0175 at 94.720 well after 3M SOFR settled +0.03373 to 5.22528 (+.06181/wk). The balance of Whites through Golds (SFRU3-SFRMH8) are trading -0.055-0.10.
  • After the release of FOMC minutes yesterday showed officials were split in decision to hike on May 3, Fed funds implied 25bp hike at the next FOMC on June 14 is holding around 8bp.
  • Projected rate cuts later in the year continue to evaporate. At the moment, September cumulative is +12bp at 5.215%, November cumulative -3.6bp at 5.062%, Dec'23 cumulative -22bp at 4.878%, while Jan'24 cumulative is -39.6bp (vs. over a full point earlier in the month) at 4.700%.
  • Fed Terminal has climbed to 5.275% in Aug'23 this morning.
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