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STIR: Long Setting & SFRH5/H6 Steepener Dominated On SOFR Strip On Monday

STIR

Long setting once again dominated in SOFR futures on Monday, as the odds of a 50bp cut at this week’s FOMC increased further (exact market pricing covered in prior bullet).

  • The biggest net OI swings came in SFRH5 & H6, driven by an 81.5K SFRH5/H6 steepener block, which would benefit from a frontloading of Fed cuts.

 

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Long setting once again dominated in SOFR futures on Monday, as the odds of a 50bp cut at this week’s FOMC increased further (exact market pricing covered in prior bullet).

  • The biggest net OI swings came in SFRH5 & H6, driven by an 81.5K SFRH5/H6 steepener block, which would benefit from a frontloading of Fed cuts.

 

Keep reading...Show less