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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.
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Free AccessSOFR Futures Update, Sep'23 and Dec'23 Volume Surge
- Sep'23 and Dec'23 SOFR futures seeing a surge in volume again today. At the moment, SFRU3 trades over 690,000, SFRZ3 over 750,000 (SFRH4 well behind pace but heavy nonetheless at over 380,000).
- Volume surge in Sep'23 and Dec'23 quarterlies tied to calendar spreads/position rolls as accounts adjust to growing chances of more than one 25bp rate hike by year end.
- Dec'23 SOFR volume outpacing Sep'23 after massive 67,200 Block this morning vs. 36,704 Sep'23 5Y Treasury futures (consensus opinion the massive spread was a flattener).
- Additional factor driving volume: Still around but not considered lead quarterly, Jun'23 SOFR futures continue to be rolled to Sep'23, current SFRM3 volume over 145k.
To read the full story
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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.