Jordan Weighs On SARON Strip, U.S. IJC Tempers Hawkish Move

SARON futures cheapen as SNB President Jordan notes that inflation is more persistent than the central bank previously believed, with second- and third-round effects noted. Jordan also noted that Swiss interest rates are relatively low, so it doesn’t make sense to wait, per BBG headlines, which presents hawkish risks on the SNB policy front.

• The strip steepens through the reds, although cross-market impulses surrounding the larger than expected uptick in U.S. initial claims data tempers the move, allowing a move back from session extremes.
• That leaves contracts flat to 7.5bp lower through the reds, with the back end of the whites and the front end of the reds leading the cheapening.
• The SSYH3/M3 spread topped out just shy of 46bp, before easing back to ~43bp, while SSYM3/Z3 spread sits at 22.5bp, steepening by ~1.5bp around the comments.