🏦🇺🇸SOFR Calendar Spreads Post 10Bps Bullish Repricing: Cable FX Macro
- Rosbel Durán
- Jul 3
- 1 min read
According to market-implied probabilities, there is a strong chance that the Fed will maintain rates at 4.25%–4.50%. The CME FedWatch Tool shows an 89% probability of rates remaining unchanged, an increase from 83% following the June meeting.
From June to December, SOFR calendar spreads increased to 53.5 basis points, reflecting a net reduction of 10 basis points in expectations for Fed rate cuts. Such a significant bullish repricing has only occurred three times since 2020.
Only two Fed policymakers have expressed openness to a July cut, with most favoring a wait-and-see approach due to tariff-related inflation risks and limited data before the meeting. It will be interesting to see how officials react to the June employment data.
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