Free Trial

Latest SOFR Call Structures, Projected Rate Hike Firms Slightly

STIR
  • 5,000 SFRZ3 94.56/95.00 call spds, 6.5 ref 94.57
  • +10,000 SFRZ3 94.68/94.81 call spds 0.75 vs. 94.58/0.10%
  • +1,000 SFRZ3 94.56/94.68/94.75 1x3x2 call flys, 4.75

Short end selling, flatter curves sees rate hike projections into early 2024 climbing off recent lows: November at 14% vs. 11.9% pre-data (compared to 30.5% late Fri), w/ implied rate change of +3.5bp to 5.364%, December cumulative of 8bp at 5.408%, January 2024 6.9bp at 5.398%. Fed terminal at 5.41% in Jan'24.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.