• Secured Overnight Financing Rate 3M futures are trading steady to mixed at the moment, the front end of the strip lagging firmer levels in Reds to Golds.
  • Front month Sep'23 SOFR futures are currently trading -0.005 at 94.60 (3M SOFR settled +0.01023 to 5.32012 (+.01451 total last wk)). The balance of Whites through Reds (SFRZ3-SFRM5) are trading steady to +/-0.005, Greens-Golds (SFRU4-SFRM8) +0.025-0.030.
  • Projected rate hike expectations holding steady: July 26 FOMC is 93.6% w/ implied rate of +23.4bp to 5.313%. September cumulative of +26.6bp at 5.345%, November cumulative of 32.1bp at 5.399%, and December cumulative of 25.8bp at 5.337%. Fed terminal holding at 5.40% in Nov'23.

STIR: SOFR Futures Update: Rate Hike Projections Steady

Last updated at:Jul-17 17:09By: Bill Sokolis
  • Secured Overnight Financing Rate 3M futures are trading steady to mixed at the moment, the front end of the strip lagging firmer levels in Reds to Golds.
  • Front month Sep'23 SOFR futures are currently trading -0.005 at 94.60 (3M SOFR settled +0.01023 to 5.32012 (+.01451 total last wk)). The balance of Whites through Reds (SFRZ3-SFRM5) are trading steady to +/-0.005, Greens-Golds (SFRU4-SFRM8) +0.025-0.030.
  • Projected rate hike expectations holding steady: July 26 FOMC is 93.6% w/ implied rate of +23.4bp to 5.313%. September cumulative of +26.6bp at 5.345%, November cumulative of 32.1bp at 5.399%, and December cumulative of 25.8bp at 5.337%. Fed terminal holding at 5.40% in Nov'23.

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