Interest rate futures

MacroVar analyzes interest rate futures to monitor the market’s expectations in regards to central bank monetary policy (rate hikes/cuts), financial markets and economic outlook.

More specifically MacroVar analyzes the following interest rate futures: Fed funds futures, Eurodollar futures, SOFR futures, USD 3M LIBOR futures, EUR 3M LIBOR futures, EURIBOR futures, GBP 3M LIBOR futures and SONIA futures.

Interest Rate Futures implied rates

id Market Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23 Dec-23 Mar-24 Jun-24 Sep-24 Dec-24
1 Fed Funds Futures 0.095 0.095 0.110 0.155 0.225 0.335 0.455 0.585 0.67 0.800 0.875 0.875 0.875 0.995
2 USD SOFR 0.050 0.060 0.085 0.160 0.255 0.365 0.490 0.620 0.760 0.900 1.020 1.140 1.205 1.300
3 USD 3M LIBOR 0.140 0.210 0.210 0.290 0.385 0.550 0.660 0.800 1.020 1.155 1.270 1.385 1.495 1.590
4 EUR 3M LIBOR -0.530 -0.520 -0.500 -0.486 -0.460 -0.430 -0.390 -0.350 -0.310 -0.270 -0.230 -0.190 -0.145 -0.095
5 GBP 3M LIBOR 0.095 0.130 0.260 0.340 0.420 0.495 0.560 0.625 0.695 0.750 0.785 0.835 0.870 0.910
6 Eurodollar Futures 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095
7 SONIA Futures 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095 0.095

Updated 29 June 2021

Interest rate futures implied rates (1 week change)

id Market 21-Sep 21-Dec 22-Mar 22-Jun 22-Sep 22-Dec 23-Mar 23-Jun 23-Sep 23-Dec 24-Mar 24-Jun 24-Sep 24-Dec
1 Fed Funds Futures 0.000 -0.005 0.000 0.005 0.005 0.0150 0.030 0.050 0.050 0.050 0.050 0.050 0.050 0.050
2 USD SOFR 0.000 0.000 -0.005 0.005 -0.005 0.000 0.020 0.025 0.020 0.030 0.045 0.050 0.060 0.065
3 USD 3M LIBOR 0.000 0.005 0.005 0.005 0.005 0.025 0.025 0.025 0.030 0.045 0.050 0.060 0.065 0.065
4 EUR 3M LIBOR -0.005 0.000 0.010 0.015 0.020 0.020 0.025 0.030 0.030 0.035 0.040 0.040 0.040 0.040
5 GBP 3M LIBOR -0.010 -0.010 -0.015 -0.015 -0.015 -0.015 -0.020 -0.030 -0.025 -0.025 -0.025 -0.015 -0.015 -0.005
6 Eurodollar Futures -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010
7 SONIA Futures -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010 -0.010

Updated 29 June 2021

Interest rate futures yield term structure analysis

Bear Steepening yield curve: interest rates rise & yield curve steeper
Bear steepening occurs when long term interest rates rise faster than short term interest rates. Bear steepening signifies higher inflation and growth expectations outlook.
Bear Steepening yield curve

Bull Steepening yield curve: interest rates fall & yield curve steeper

Bull steepener yield curves occur when short term interest rates fall faster than long term interest rates. This often happens when the central bank is expected to cut interest rates in order to stimulate a weakening economy.

Bull Steepening yield curve

Bull flattening yield curve: interest rates falling, yield curve flat
Bull flattening yield curves occur when long-term rates fall faster than short-term interest rates. A bull flattening yield curve occurs during elevated market risk or lowered inflation expectations. During these periods, funds flow into long-term treasuries in search for safety. This causes a sharp drop in long-term yields while short-term rates remain relatively flat.
Bull flattening yield curve

Bear flattening yield curve: interest rates rising, yield curve flat
Bear flattener yield curves occur when short-term interest rates rise faster than long-term yields. A bear flattening yield curve occurs because the market expects the Fed to raise short-term interest rates to cool off an overheated economy.
Bear flattening yield curve