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Tsys Rebound, Large Short End SOFR Buying

US TSY FUTURES
  • Rates see broad based rebound in the last few minutes, Tsys still off early session highs, TYM4 was trading around 110-21 climbs to 110-24.5 (+12) vs. 110-26.5 high. No particular headline or block/cross driver (small block buy in Gilts). Curves off low, 2s10s -.780 at -37.926 vs. -40.173.
  • However, large buy of 35,000 SFRM4 (3M Jun'24 SOFR futures) noted at 94.905 (+0.015) at around 1112ET, trades 94.915 last. Back to pricing in the post-FOMC rate cut pricing tone ahead of the weekend.
  • Projected rate cut pricing has receded in the near term: May 2024 at -16.5% vs -12.4% earlier w/ cumulative -4.1bp at 5.286%; June 2024 -68.3% vs -66.8% earlier w/ cumulative rate cut -21.2bp at 5.115%. July'24 cumulative at -33.5bp vs -31bp earlier.

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