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Heavy Short End SOFR Volume Review

STIR FUTURES
  • Short end SOFR futures from Sep'24 to the Red Dec-25 contract are seeing heavier than normal volumes today, Front Dec'24 leads with over 620,000 at the moment.
  • Competing themes: Over 60,000 SFRU4/SFRZ4 spds sold -.430 low as some accts hedge three 25bps cuts by year end.
  • Over +25,000 SFRZ4/SFRU5 spds -0.865 Blocked, while large selling registered in the SFRZ4 contract outright, over 35,000 from 95.35-95.36 earlier.
  • Projected rate cut pricing into year end cool slightly vs. late Monday levels (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -26.4bp (-27.5bp), Nov'24 cumulative -42.4bp (-44.1bp), Dec'24 -64.4bp (-65.8bp).

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