Free Trial

/SOFR BLOCK, Sep'22 Spread

US EURODLR FUTURES
  • 8,000 EDU2 at 98.65 vs. SFRU2 at 98.79 at 1115:34ET, SOFR futures appear to be bought over for net of 14.0 on the spread.
  • Incidentally, earlier Block of 1,000 SOFR Red packs (SFRH3-SFRZ3) crossed at 0944ET at -0.030 (currently -0.040).
  • Final note on SOFR 3M futures -- taking a look at FINAL open interest data provided by CME Group shows really healthy outstanding positions for the eventual Eurodollar replacement:
  • Total OI at 2,840,472, up 12,027 from Friday's settle on total volume of 595,240 yesterday!

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.