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2026-04-08 19:30:50
[SOFR futures surged due to the oil price plunge, leading the gains; EIA outlook suggests upside risks to interest rate path] ⑴ Following the ceasefire news, SOFR futures initially surged by as much as 18 basis points before retreating. Currently, contracts across all maturities are up 5 to 11.625 basis points, leading the gains, while spot oil prices fell 16.3% to $94.50 per barrel. ⑵ US Treasury yields also rose, with the three-year yield leading the decline, falling 10.9 basis points to 3.761%, down 13.6 basis points from yesterday's bidding level of 3.897%. ⑶ The EIA's outlook projects average Brent and West Texas Intermediate crude oil prices at $96 and $87 per barrel, respectively, higher than the March forecasts of $79 and $74. This forecast already factored in a scenario where the Strait of Hormuz reopens sometime in April. The upward revision of the long-term forecast is due to the depletion of expected global inventory buildup caused by the recent strait closure and production stoppages by some producers. (4) The white paper shows that the SOFR futures opening prices for June and September 2026 correspond to SOFR rates of 3.655% and 3.625%, respectively. Based on the 10-day moving average of SOFR at 3.64%, the June contract implies a 6% probability of an interest rate hike, and the September contract implies a 6% probability of an interest rate cut. (5) From a psychological perspective, the market's reassuring reaction to the ceasefire drove interest rate futures sharply higher. However, the EIA's oil price outlook suggests that the central energy cost has systematically shifted upward. The coexistence of probabilities of interest rate hikes and cuts in forward interest rate pricing reflects increased divergence among investors regarding the central bank's policy path. (6) Future focus will be on the demand for 10-year and 30-year Treasury bond auctions this week, as well as adjustments to oil price and inventory forecasts in subsequent EIA monthly reports. These will provide further clues for the repricing of the interest rate market.
