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SOFR Futures Update: Projected 2023 Hike Steady

STIR
  • Secured Overnight Financing Rate 3M futures are holding weaker levels across the strip, mirroring steeper Treasury curves with the short end outperforming.
  • Front month Sep'23 SOFR futures are currently trading -0.005 at 94.59 (3M SOFR settled +0.00044 to 5.36985 (-0.00206/wk)). The balance of Whites through Reds (SFRZ3-SFRM5) are trading -0.025-0.060, Greens-Golds (SFRU5-SFRM8) -0.075-0.140.
  • Rate hike projections through year end are steady to mildly higher, Sep 20 FOMC is 17% w/ implied rate change of +4.3bp to 5.371%. November cumulative of +9.5bp at 5.424, December cumulative of 5.8bp at 5.387%. Fed terminal holding at 5.42% in Nov'23.

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