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SOFR Update: Projected Rate Hike Gains Post-Data

STIR
  • 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.

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