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STIR FUTURES: Huge SOFR Block Overnight

STIR FUTURES
  • Overnight we saw the largest SOFR block on record with SFRZ4 118k sold at 96.065. The market at the time was trading at 96.09 near cycle highs, after hitting lows of 94.915 in May, the contract last trades at 96.050.
  • The trade which could have been either a bet on less Fed cuts, or just unwinding of a position that has been built overtime.
  • Swaps are currently pointing to about three-quarters of a percentage point in rate cuts in 2024.
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  • Overnight we saw the largest SOFR block on record with SFRZ4 118k sold at 96.065. The market at the time was trading at 96.09 near cycle highs, after hitting lows of 94.915 in May, the contract last trades at 96.050.
  • The trade which could have been either a bet on less Fed cuts, or just unwinding of a position that has been built overtime.
  • Swaps are currently pointing to about three-quarters of a percentage point in rate cuts in 2024.