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SOFR UPDATE

STIR

SOFR futures are trading mixed with futures out to early 2025 moderately weaker.

  • Front month Jun'24 SOFR futures currently trading -0.015 at 94.90 well after 3M SOFR settled +0.01418 to 5.09811 (+.05938/wk). The balance of White-Red SOFR futures (SFRU3-SFRH5) are currently trading -0.030-0.005, the balance of the strip trading +0.005-0.015.
  • Fed funds implied move for the next FOMC on June 14 is +4.2bp, while projected rate cuts for late 2023 continue to inch off last week's highs: November cumulative -41.5bp (-58.7bp last wk) at 4.660%, Dec'23 cumulative -64.3bp (-84.3bp last wk) at 4.432%, while Jan'24 cumulative is running at -87.0bp at 4.205%. Fed Terminal currently at 5.110% in Jul'23 this morning.

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