Free Trial

SOFR Update: Projected Rate Hike Gains Post-Data

  • Secured Overnight Financing Rate 3M futures holding weaker, near post data lows. Front month Sep'23 SOFR futures are currently trading -0.0025 at 94.635 (3M SOFR settled +0.00010 to 5.39387, -0.01287/wk). The balance of Whites (SFRZ3-SFRM4) -0.035 to -0.085, Reds through Greens (SFRU4-SFRM6) -0.085 to -0.015 with Greens outperforming.
  • Projected rate hikes into early 2024 are steady to higher: November steady at 9.8%, w/ implied rate change of +2.5bp to 5.353%, December cumulative of 10.6bp (7.4bp pre-data) at 5.431%, January 2024 10.6bp at 5.435%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.44%-5.445% in Jan'24-Feb'24.

To read the full story



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.