Three-Month SOFR Futures (Dec 2023) Trade Ideas — CME:SR3Z2023

A Traders’ Week Ahead Playbook: Don’t fight the USD trend We move past an important week for markets, one where a one-two punch from Jay Powell’s FOMC presser and a very strong nonfarm payrolls report have essentially closed the door on a March rate cut. With US economic exceptionalism coming back into the narrative, we see this play out in the bond market with the US 2-year Treasury pushing back to the top of the range at 4.36%, with yield rising faster than its G10 counterparts. The USD has found some fine form in a backdrop of US rate expectations repricing and US yield premium working in its favour, and we see the DXY closing higher for a fifth consecutive week. We have seen some big technical breaks in the USD pairs and the upside would likely have been even more pronounced had we not seen the S&P500 push to new highs and the VIX index remain below 14%. With the yield premium commanded for US 2yr Treasury over German 2yr bonds rising to 180bp we’ve seen EURUSD close at new run lows in the trend that started on 11 Jan – we see price testing the channel lows, subsequently longs need a bounce here or we risk testing the 8 Dec pivot low of 1.0723. While much of the USD flow has been driven by US rates repricing (notably with SOFR futures Dec23 – Dec 24) rising to -131bp, the prospect of a further widening of US-GE yields spreads seems likely and therefore further downside in EURUSD could be a theme this week. The NOK was the weakest play in G10 FX last week, with a weaker Brent tape part impacting here – flick to the daily chart of SpotBrent and we see the series of higher lows from the 13 Dec breaking down and price pulling into the heavy congestion zone – consolidation may be on the cards but further weakness in crude would likely weigh on the NOK. NZDUSD is also of note having completed a bear flag pattern, with the flow arguing for a continuation towards 0.5900. AUDUSD has completed a head and shoulders reversal, offering a target towards 0.6250. USDJPY eyes a test of the January highs, where a break of 148.81 would suggest a move to 150 is on the cards. Gold ended a run of consecutive days higher on Friday but the set-up on the higher timeframes remains choppy – that said, a renewed push higher in both the USD and US real rates this week and $2k could easily be on the cards. We can look at US 10yr real rates (i.e. the 10yr US Treasury minus 10yr expected inflation) on TradingView (code: TVC:US10Y-FRED:T10YIE), and a break of 1.90% should put 2% back on the table. On the equity front, the ASX200 was a stellar performer last week and will be a key focal point this week with ASX200 1H24 earnings starting to trickle in and the RBA statement also in focus. The US500 and US30 also performed well and pushed to new highs – pullbacks are tight in this bull market and while it remains hard to put new money to work on the long side up here, shorting for those who are not scalpers or day traders remains a low probability outcome at this stage. Good luck to all. The marquee event risks for traders to navigate: Tuesday US ISM services report (02:00 AEDT) – The market looks for the services index to come in at 52.0 (from 50.6), once again showing resilience in the US service sector. Solid expansion (i.e. a reading above 50 shows expansion from the prior month) should further price out the chance of a 25bp cut in the March FOMC and support USD upside. The ‘SLOOS’ report - US Senior Loan Officers Survey on bank lending practices (06:00 AEDT) – with US regional bank concerns in the spotlight this report on bank lending standards may get some focus from the market. Japan nominal and real cash earnings (10:30 AEDT) – After a weak read in the November data, economists expect some improvement in real wages. Although should it come out as expected at -1.5%, it will further delay calls for the BoJ to move away from negative rates. RBA meeting & Statement on Monetary policy (both 14:30 AEDT) – The start of a new regime of communication for the RBA with the bank releasing its quarterly economic projections and Gov Bullock following the statement with a press conference. The RBA won’t cut interest rates at this meeting but should move to a move balanced statement. The move in the AUD will come from the tone of the statement relative to pricing in the interest rates curve. See my preview here - pepperstone.com RBA Gov Bullock speaks (15:30 AEDT) – Following on from the RBA statement Gov Bullock’s comments could impact AUD, especially given she will be probed on some key issue in the presser – a clear risk event for AUD exposures. ECB 1- & 3-year CPI expectations (20:00 AEDT) – there is no consensus to work off here, but there should be downside risks to the prior estimate of 3.2% (1yr) and 2.2% (3yr). Notably, look for the 1-year CPI expectations to be revised to 3.1%, possibly even 3%. Wednesday NZ Q4 employment report & wages (08:45 AEDT) – the market looks for the Q4 U/E rate to rise to 4.3% (from 3.9%) – a higher unemployment rate will solidify the case for the RBNZ to cut at the May meeting. Favour NZDUSD downside this week given the current technical set-up. Thursday Mexico CPI (23:00 AEDT) – The consensus is we see headline CPI at 0.90% MoM, taking the year-on-year pace to 4.89% yoy (from 4.66%). Core CPI is eyed lower though with calls for 4.72% from 5.09%), but perhaps not substantial enough to see Banxico cut the overnight rate from 11.25%. No firm bias on USDMXN, but I look for EURMXN downside. China CPI/PPI (12:30 AEDT) – The market looks for China’s consumer prices to fall 0.5% in January marking the fourth consecutive month of deflation. Producer price inflation is expected to fall 2.6% (from -2.5%). It’s unlikely to be a volatility event for markets but it could reinforce the notion that internal demand is soft and that the PBoC has scope to do more. Friday Banxico meeting (06:00 AEDT) – the Mex CPI print (due on Thursday) may alter expectations for a cut, but the core view from economists is that rates should remain at 11.25%, although there is a small risk of a 25bp cut. Mexican forward rates price 181bp of cuts over the coming 12 months, with March the likely date of a cut. China new yuan loans and aggregate financing (no set time through the week) – this data can be important for Chinese markets, and notably this time around we see expectations for a big increase in credit extension in January. The market looks for new yuan loans to come in at RMB4.5t in Jan, which if correct would be the second largest monthly credit extension ever. US CPI revisions – Each year the Bureau of Labor Statistics tweak the weightings of the inputs that feed into the CPI calculation, which can affect prior seasonally adjusted prints. It won’t be a volatility event, but economists will be looking out to see how the new weights impact the future trajectory for inflation expectations. Canada employment report (Sat 00:30 AEDT) – the market looks for 15k net jobs to have been created in January, with the unemployment rate eyed to tick up to 5.9%. The market has pared back expectations of imminent easing with June now seen as the most likely month for a 25bp cut from the BoC – a weak employment report could see that pricing brought forward. The CAD has been a solid performer in G10 FX of late, notably vs the AUD and NZD, and I am seeing a higher probability of further downside momentum in NZDCAD. Other event risks that could impact sentiment: China Lunar New Year (Friday) Fed speakers – this week we hear from 14 Fed members. BoE speakers – Huw Pill (6 Feb 04:30 AEDT), Breedon (7 Feb 19:40 AEDT), Catherine Mann (9 Feb 02:00 AEDT). ECB speakers – Wunsch, Lane (9 Feb 02:30 AEDT), Nagel (9 Feb 21:30 AEDT), Cipollone (10 Feb 01:15 AEDT) US earnings – we move past the marquee week for US earnings, and the big market cap names have hit us with numbers, so bottom-up factors will fade, and the macro will fully dictate sentiment once again. 46% of S&P500 companies have now reported, 78% of beaten on the EPS line (by an average of 7.1%), with 53% beating consensus sales expectations. We’ve seen 4% aggregate EPS growth. This week 10% of the S&P500 market report – McDonald’s and Caterpillar are a couple that may get a focus from traders. ASX200 earnings – ASX200 1H24 earnings start to trickle in with names like Amcor, Mirvac, Transurban, AGL and REA due to report. CBA report on 14 Feb.

SR3: Trading Opportunities in a Disrupted Treasury Market CBOT: Three-MO SOFR Futures ( CME:SR31! ) Breaking News: The US Treasury bonds are risk-free No Longer ! Last Friday, top credit ratings agency Moody's lowered its credit outlook on the U.S. to "negative" from "stable", citing large fiscal deficits and a decline in debt affordability. It has so far maintained the AAA credit rating for U.S. sovereign bonds. This move follows a rating downgrade by Fitch, another major ratings agency. On August 1st this year, Fitch cut U.S. credit rating from AAA to AA+, a decision made following months of political brinkmanship around the U.S. debt ceiling. Going back, the S&P was the first credit agency to give Uncle Sam a bad grade. It cut the U.S. credit rating from AAA to AA+ in August 2011 and has maintained it ever since. U.S. credit rating is now lower than that of Australia, Canada, Denmark, Germany, Luxemburg, Netherlands, Norway, Singapore, Sweden, Switzerland, and the European Union. These countries all enjoy AAA ratings from the top-3 major ratings agencies. The risk-free assumption on US Treasury bonds has long been the foundation of the global credit market. It typically measures the riskiness of a debt issue by adding risk premium(s) on top of a risk-free interest rate, which by default is the Fed Funds rate. If the U.S. bonds are no longer deemed risk-free, should we change “the mother of all reference rates” with a new risk-free rate? It would be like cracking the foundation of the Empire State Building and will bring chaos to the $133-trillion global bond market. In my opinion, this Doomsday scenario is very unlikely to occur. ‘A revisit of the following high-profile credit market events helps us understand why. August 2011: the S&P downgraded U.S. credit rating On August 5, 2011, the S&P announced its decision to give its first-ever downgrade to U.S. sovereign debt, lowering the rating by one notch to "AA+", with a negative outlook. S&P was direct in its criticism of the governance and policy-making process, which took the U.S. to the brink of default as part of the 2011 U.S. debt-ceiling crisis. This unprecedented downgrade drew sharp criticism from the Obama administration and the U.S. Congress, but the S&P refused to budge. What did the investors think? • The 10-Year Note with a par value of 100 traded at around 130 before the downgrade. A month later, its price hardly moved. By year end 2011, the 10Y note rose to 132. • The 30-Year Bond was quoted at 136. It reached 145 by year end, up 6.6%. • Following the downgrade, the S&P 500 lost 7.6% in August. But it quickly rebounded. The S&P ended the year at 1,258, up 3.3% from before the downgrade. I rephrase a famous quote to explain what happened: “When the U.S. sneezes, the World catches a cold.” The U.S. downgrade created a bigger chao in global markets. Investors pulled money out of emerging markets, which were considered even riskier. They put money back in the U.S. stocks and bonds, which, ironically, are deemed safer. There has not been any long-term impact from the S&P downgrade, or from its decision to keep U.S. rating at the less-than-perfect rating: • The S&P settled at 4,415 last Friday, up 260% since the downgrade in 2011; • US GDP has grown from $15.6 trillion in 2011 to $25.5 trillion in 2022, up 63%; • In 2011, US national debt totaled $14.8 trillion, a level the S&P considered as “unsustainable”. It has now mushroomed to $33.7 trillion, up 128%. The U.S. government has not defaulted on any debt or missed any interest payment. August 2023: Fitch downgraded U.S. credit rating In a surprise move on August 1st, Fitch downgraded U.S. Treasuries to AA+ from AAA. The U.S. markets were already in decline following the July 25th Fed decision to raise interest rates by 25 bps to 5.25-5.50%. Markets were clearly driven by the Fed, and the Fitch downgrade was merely a footnote. • The 10-Year Note traded at around 112 at the time of the downgrade. It fell as much as 6% to 105. The 10Y note has recovered somewhat to 107 by Monday. • The 30-Year Bond was quoted at 136. It dipped to 108 (-20%) by October, and it’s now quoted at 113, a rebound of nearly 5%. • Following the July rate hike, the S&P 500 has dropped from 4,588 to 4,117, a sharp 10% drawdown. However, it has since staged ten winning streaks, pushing the index back to 4,415, an impressive 300-point rebound (+7.2%). November 2023: Moody’s lowered U.S. credit outlook Last Friday November 10th, Moody's kept U.S. credit rating at AAA, but lowered its outlook to "negative" from "stable", citing large fiscal deficits and a decline in debt affordability. • The 10-Year Note ended the day at 4.646%, a modest gain of 0.016%. • The 30-Year Bond was settled 4.756%, down 0.011%. • The S&P 500 closed at 4,415, up 68 points or +1.6%. The U.S. hardly moved on Monday, as investors waited for the new inflation data. Today, the BLS reports that October CPI was unchanged from previous month, with the annual headline CPI dropping to 3.0%, below market expectations. The S&P pushed up 2% to reach 4,500 in morning trading. There you see how little the impact from a downgrade. Trading with CBOT SOFR Futures In “SOFR: Farewell to LIBOR”, published on July 3rd, I explained that the Securitized Overnight Funding Rate (SOFR) has already replaced the London Interbank Offering Rate (LIBOR) as the leading global credit market benchmark. If you are curious about what this means to you, check out your credit card agreement. You would find that the bank interest rate calculation usually consists of a “prime rate” and a markup, where the prime rate is defined as the sum of SOFR and a fixed rate. CBOT 3-Month SOFR Futures ( FWB:SR3 ) lists 40 quarterly contracts. It shows what the SOFR would be, quarter by quarter, ten years down to road. Based on Friday settlement prices and volume, here is the market consensus on SOFR through the end of 2024: • Current Fed Funds rate: 5.25-5.50% • December 2023 SOFR: 5.415%, volume: 265,153 • March 2024 SOFR: 5.350%, volume: 283,053 • June 2024 SOFR: 5.140%, volume: 324,902 • September 2024 SOFR: 4.880%, volume: 469,238 • December 2024: SOFR: 4.605%, volume: 402,005 SOFR futures are the most liquid futures contracts in the world. On Friday, 2,787,432 lots changed hands. Open interest was 10,655,832 contracts. The contracts showed here each traded over a quarter million lots in a single day. We could assume that market prices reflect best investor consensus on interest rate level at any given time in the future. Here are my observations: • The lead December contract is quoted at 5.415%, in line with the current Fed Funds range of 5.25-5.50%. It dropped to 5.3675% Tuesday after the CPI data. • The September 2024 quote of 4.635% on Tuesday, is 62-87 bps below range, indicating 2-3 rate cuts of 25 bps within the next ten months. • The December 2024 quote of 4.330% is 92-107 bps below range, indicating three to four rate cuts by the end of next year. In my opinion, the Fed decision, the Fed Chair statement and the latest data on payrolls and inflation, sent conflicting signals to the market, creating confusion among investors. Market prices are temporarily dislocated, which may present trading opportunities. The September 2024 quote indicates two or three rate cuts. I think that this assumption is too aggressive. The Fed, in both its statements and the Fed Chair public comments, repeatedly stressed that it never raised the issue of if or when to cut rates. If a trader holds the view that the September SOFR rate shall rise, he could express it with a short position in SOFR futures. The quoting convention of SOFR future is 100-R, where R is the effective interest rate. If the rate goes up, futures price will go down. SOFR contracts have a notional value of $2,500 x contract-grade IMM Index. Each 1 basis-point move would result in a gain or loss of $25 per contract. The minimum margins are $850 for the September contract. Hypothetically, if the trader is correct and the rates turn out to be 25 bps high, he would have a theoretical return of $625 per contract (= 25 X 25). The trader would lose money if the Fed cut rates faster than anticipated. Happy Trading. Disclaimers *Trade ideas cited above are for illustration only, as an integral part of a case study to demonstrate the fundamental concepts in risk management under the market scenarios being discussed. They shall not be construed as investment recommendations or advice. Nor are they used to promote any specific products, or services. CME Real-time Market Data help identify trading set-ups and express my market views. If you have futures in your trading portfolio, you can check out on CME Group data plans available that suit your trading needs www.tradingview.com

SOFR: Farewell to LIBOR CME: SOFR ( CME:SR31! ) On June 30th, SEC Chairman Gary Gensler posted a 3-minute short video on Twitter. In this educational piece titled RIP LIBOR, he explains what the London Interbank Offered Rate (LIBOR) is, and why its passing away is actually a good thing for consumers. As CFTC Chairman in 2009-2014 and SEC Chairman since 2021, Mr. Gensler oversaw the investigation of the 2012 LIBOR scandal and its replacement by the Secured Overnight Financing Rate (SOFR) in 2021 as the benchmark interest rate for US dollar. Eurodollar and LIBOR Offshore Dollar, the US currency deposited in banks outside of the United States, is commonly known as Eurodollar. Traditionally, offshore dollars were traded mainly among European banks. The name sticks to these days and applies to funds in non-European banks as well. A key advantage of trading Eurodollar is the fact that it is subject to fewer regulations by the Fed, being outside of the US jurisdiction. London is the largest trading hub for Eurodollar. The London Interbank Offered Rate came into being in the 1970s as a reference interest rate in the Eurodollar markets. By 1986, the British Bankers' Association (BBA) began publishing the US Dollar LIBOR daily. The BBA Libor was calculated based on interest rates reported by 17 member banks who together represented the bulk of Eurodollar transactions. Libor has been widely used as a reference rate for many financial instruments, including: • Forward rate agreements • Interest rate futures, e.g., CME Eurodollar futures • Interest rate swaps and swaptions • Interest rate options, Interest rate cap and floor • Floating rate notes and Floating rate certificates of deposit • Syndicated loans • Variable rate mortgages and Term loans • Range accrual notes and Step-up callable notes • Target redemption notes and Hybrid perpetual notes • Collateralized mortgage obligations and Collateralized debt obligations How important was Libor? It is a reference rate in the documentation by private trade association International Swaps and Derivatives Association (ISDA), which sets global market standard for OTC derivative transactions. In 2008, 60% of prime adjustable-rate mortgages and nearly all subprime mortgages were indexed to the USD Libor in the US. Furthermore, American cities borrowed 75% of their money through financial products that were linked to the Libor. Libor has been the indispensable global benchmark for pricing everything from credit card debt to mortgages, auto loans, corporate loans, and complex derivatives. CME Eurodollar Futures In 1981, the Chicago Mercantile Exchange launched Eurodollar futures, the first ever cash-settled futures contract. It quickly became the most liquid contract by CME. At its peak, over 1,500 traders and clerks worked at the Eurodollar pit on CME trading floor. Not to be confused with the Euro currency, Eurodollar futures contracts are derivatives on the interest rate paid on a notional or "face value" of $1,000,000 time deposit at a bank outside of the United. It uses the 3-month USD Libor rate as its settlement index. The late Fred D. Arditti, CME economist, is credited as the brain behind Eurodollar futures. Eurodollar futures are priced as a Money Market instrument. The CME IMM index is used to convert a coupon-bearing instrument such as bank deposit, into a discounted instrument that does not make regular interest payments. For instance, a futures price of 95.00 implies an interest rate of 100.00 - 95.00, or 5%. The settlement price of a Eurodollar futures contract is defined to be 100.00 minus the official BBA fixing of 3-month Libor on the day the contract is settled. The 2012 LIBOR Scandal The LIBOR Scandal was a highly publicized scheme in which bankers at major financial institutions colluded with each other to manipulate the Libor rate. As the scandal came to light in 2012, investigators found that the banks had been submitting false information about their borrowing costs to manipulate the Libor rate. This allowed the banks to profit from trades based on the artificially low or high rates. A dozen big banks were implicated in the scandal. It led to lawsuits and regulatory actions. After the rate-fixing scandal, LIBOR's validity as a credible benchmark was over. As a result, regulators decided that Libor would be phased out and replaced. If you want to learn more about the LIBOR scandal, feel free to check out the 2017 bestseller by David Enrich: “The Spider Network: The Wild Story of a Math Genius, a Gang of Backstabbing Bankers, and One of the Greatest Scams in Financial History”. What is the SOFR In 2017, the Federal Reserve assembled the Alternative Reference Rate Committee to select a Libor replacement. The committee chose the Secured Overnight Financing Rate as the new benchmark for dollar-denominated contracts. The daily SOFR is based on transactions in the Treasury repurchase market, where firms offer overnight or short-term loans to banks collateralized by their bond assets ,similar to pawn shops. Unlike LIBOR, there’s extensive trading in the Treasury repo market, estimated at $4.8 trillion in June 2023. This theoretically makes it a more accurate indicator of borrowing costs. Moreover, SOFR is based on data from observable transactions rather than on estimated borrowing rates, as was the case with LIBOR. The Federal Reserve Bank of New York began publishing the SOFR in April 2018. By 2021, SOFR has replaced most of the LIBOR-linked contracts. The LIBOR committee officially folded up on June 30, 2023. Chairman Gensler apparently chose this day to post his RIP LIBOR video to mark the end of an era. The difference between Fed Funds Rate and SOFR Fed Funds Rate is set by the Fed’s FOMC meeting, and SOFR is published by the NY Fed. However, they are very different. • Fed Funds Rate is considered a risk-free interest rate, and only member banks have access to this ultra-low rate through the Fed’s discount window. • SOFR is a commercial interest rate where banks charge each other. The NY Fed publishes the rate based on transactions in the US Treasury repurchase market. SOFR is similar to LIBOR because they are both commercial interest rate benchmarks. On the other hand, Fed Funds Rate is a policy rate set by the US central bank. CME SOFR Futures and Options CME Group launched the 3-month SOFR futures and options contracts in May 2018. The contracts were based on the SOFR Index, published daily by the New York Fed. SOFR futures contracts are notional at $2,500 x contract-grade International Monetary Market (IMM) Index, where the IMM Index = 100 minus SOFR. At a 5.215 IMM, for example, each contract has a notional value of $13,037.50. CME requires a $550 margin per contract. An interest rate move by a minimum tick of 0.25 basis point would result in a gain or loss of $6.25. At the beginning, SOFR contracts traded side-by-side with the Eurodollar contracts. By 2021, Eurodollar liquidity has transitioned to SOFR contracts. By April 2023, All Eurodollar contracts were delisted, and the transition was completed. For all intended purposes, you could think of the SOFR futures as the same as the legacy Eurodollar contracts, with the only notable exception being the settlement index switched from LIBOR to SOFR. On June 30th, the daily trading volume and Open Interest of SOFR contracts were 4,443,245 and 9,310,433 contracts, respectively. On the same date, CME Group total volume and OI were 23,769,103 and 104,221,083, respectively. On the latest trade day, SOFR accounts for 18.7% of CME Group’s trade volume and 8.9% of its total open interest. Indeed, SOFR has successfully replaced Eurodollar as new No. 1 contract at CME and is arguably the most liquid derivatives contract in the world. Where We Are at the SOFR Market On June 30th, the JUN SOFR contract (SR3M3) expired and settled at 94.785. This translates to the JUN SOFR rate of 5.215 (100-94.785). SEP 2023 (SR3U3) is now the new lead contract. It settled at 94.595 and implied a forward SOFR rate at 5.405 (100-94.595). This shows that the futures market expects a rate increase in the next Fed meeting. Like Eurodollar futures, rising futures price will confer to declining SOFR rate, as rate is equal to 100 minus futures price. Similarly, a decline in futures price equates to a rising SOFR rate. Happy Trading. Disclaimers *Trade ideas cited above are for illustration only, as an integral part of a case study to demonstrate the fundamental concepts in risk management under the market scenarios being discussed. They shall not be construed as investment recommendations or advice. Nor are they used to promote any specific products, or services. CME Real-time Market Data help identify trading set-ups and express my market views. If you have futures in your trading portfolio, you can check out on CME Group data plans available that suit your trading needs www.tradingview.com

SOFR Futures Curve SOFR (Secured Overnight Financing Rate) is a benchmark interest rate that is based on the cost of borrowing cash overnight, collateralized by US Treasury securities. It is considered to be a replacement for the LIBOR (London Interbank Offered Rate) benchmark, which is being phased out by the end of 2021. SOFR futures are derivative contracts that allow market participants to trade on the expected future values of the SOFR rate. They are traded on the Chicago Mercantile Exchange (CME). SOFR futures prices are quoted in terms of the expected SOFR rate at the time the contract expires. For example, a SOFR futures contract expiring in March 2023 may be quoted at a price of 98.50, which would imply an expected SOFR rate of 1.50% at that time. These prices are used by market participants to hedge against interest rate risk and to speculate on the future direction of interest rates. The importance of SOFR futures lies in their use as a benchmark for a wide range of financial products, including loans, mortgages, and derivatives. As such, movements in SOFR futures prices can have significant implications for the broader financial markets. Traders and investors can use charts of SOFR futures prices to identify trends and patterns in the market and to make informed trading decisions. The ability to analyze and interpret these charts is therefore a valuable skill for anyone involved in the financial markets. Futures curves are a series of futures contracts for a specific underlying asset with different delivery dates. The SOFR futures curve represents the market's expectation of future SOFR rates over time. It shows the current market pricing for SOFR futures contracts with different maturities. Each point on the curve represents a future SOFR contract with a specific expiration date. Reading the SOFR futures curve can provide important insights into market expectations about the future path of interest rates. The shape of the curve can provide signals about market sentiment and economic conditions. In a typical yield curve, a steep upward slope suggests the market expects interest rates to rise in the future, while a flat or inverted curve suggests the opposite. The same principles apply to futures curves. The SOFR futures curve is particularly important for markets as it serves as a benchmark for pricing various financial products, such as swaps and interest rate derivatives. Changes in SOFR futures prices can have a significant impact on the broader financial markets and the economy as a whole. As such, traders, investors, and policymakers closely monitor the SOFR futures curve to gain insights into the market's outlook for interest rates and to inform their investment and policy decisions.

Three-Month SOFR Futures (Dec 2023)

SR3Z2023 trade ideas