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SOFR Futures Update: Paring Gains

STIR
  • Secured Overnight Financing Rate 3M futures pared gains going into the NY open, in-line with chunky block sales in Tsy 2Y futures over the last half hour.
  • Front month Sep'24 SOFR futures are currently trading +0.005 at 94.585 (3M SOFR settled +0.00103 to 5.29950 (+.03011 total last wk)). The balance of Whites (SFRZ3-SFRM4) are trading steady to +0.005, Reds-Golds (SFRU4-SFRM8) +/-0.015.
  • Projected rate hike expectations gain slightly morning: July 26 FOMC is 89% w/ implied rate of +22.2bp to 5.298%. September fully pricing hike w/ cumulative of +28bp at 5.355%, November cumulative climbs to 34.4bp at 5.42%, December cumulative 29.3bp at 5.368%. Fed terminal holding at 5.42% in Nov'23.

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