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BLOCK: Mar'24 SOFR, Unwinding Rate Cut Positioning

STIR FUTURES
  • 4,000 SFRH4 94.88, post time offer at 1202:45ET, may be a buy at -0.065. However, the cross comes after heavy selling in the contract, appr -60,000 from 94.89 to 94.87 (session low) in the last few minutes.
  • Heavy volume on net: SFRH4 contract with over 530,000, SFRM4 with 560,000. No obvious headline driver but more rate cut/unwind related after this morning's data dampens projections for the first half of 2024.

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