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SOFR Futures Post-UofM Inflation Data

STIR
  • Secured Overnight Financing Rate 3M futures holding firmer, near the middle of post-data range.
  • Front month Sep'23 SOFR futures are currently trading +0.0025 at 94.6375 (3M SOFR settled +0.00896 to 5.40283 (-0.00391/wk). The balance of Whites (SFRZ3-SFRM4) -+0.010-0.015, Reds through Greens (SFRU4-SFRM6) +0.010-0.075, Blues-Golds (SFRU6-SFRM8) +0.090-0.115.
  • Projected rate hikes into early 2024 largely steady after consolidating overnight: November holding at 9.8%, w/ implied rate change of +2.5bp to 5.353%, December cumulative of 9.3bp (10.6bp late Thu) at 5.422%, January 2024 cumulative 9.4bp (10.6bp late Thu) at 5.423%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.42% in Jan'24-Feb'24.

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