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SOFR Update

STIR

SOFR futures are trading strong this morning, near top end of wide overnight range as projected policy moves through year end moderate.

  • Front month Jun'24 SOFR futures are currently trading +0.0125 at 94.685 after 3M SOFR settled +0.01291 to 5.27665 earlier. The balance of Whites (SFRU3-SFRH4) are trading +0.030-0.070, Reds through Golds (SFRM4-SFRMH8) are trading +0.100-0.120.
  • Projected policy moves have moderated after rising to the top of the range since last Wednesday's FOMC minutes showed officials split on the early May hike: Fed funds implied 25bp hike at the next FOMC on June 14 at 14.5bp while July near fully pricing in a 25bp hike (98%) to implied rate of 5.323%.
  • September and November cumulative recede (+18.5 and 5.0 respectively) while Dec'23 cumulative climbs to -10.5bp at 4.970%. Jan'24 fully pricing in the first cut with cumulative at -27.3bp at 4.802%.
  • Fed Terminal has climbed to 5.325% in Aug'23 this morning.

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