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Short End SOFR Bounce, Heavy Buying

STIR
  • Large buying reported in the short end SOFR futures in the last few minutes:
    • Over 37,000 SFRZ4 95.125 to -.135
    • Over 57,000 SFRM4 94.705 to .71
  • No obvious headline driver, though stocks have rebounded off lows around the same time. In-turn, projected rate cut pricing has gained slightly vs. morning levels: June 2024 at -10.0% w/ cumulative rate cut -2.5bp at 5.302%, July'24 at -242% w/ cumulative at -8.5bp at 5.248%, Sep'24 cumulative -22.1bp vs. -20.5bp earlier, Nov'24 cumulative -30.5bp vs. -29bp, Dec'24 cumulative currently -45.3bp vs. -43.1bp.

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