Free Trial

SOFR Futures Update

STIR
  • Secured Overnight Financing Rate 3M futures are trading steady to mixed at the moment, the front end of the strip lagging firmer levels in Blues to Golds.
  • Front month Sep'23 SOFR futures are currently trading +0.005 at 94.595 (3M SOFR settled +0.00564 to 5.35121 (+.04132/wk)). The balance of Whites through Greens (SFRZ3-SFRM6) are trading steady to -0.025, Blues-Golds (SFRU4-SFRM8) +0.005-0.025.
  • Projected rate hike expectations holding steady: July 26 FOMC is 96% w/ implied rate of +24bp to 5.318%. September cumulative of +28.2bp at 5.36%, November cumulative of 33.2bp at 5.409%, and December cumulative of 28.8bp at 5.365%. Fed terminal holding at 5.405% in Nov'23.

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.