Free Trial

Unambiguous Year-End Rate Cut Hedge

STIR
  • +10,000 SFRZ3 95.50/96.00/96.50 call flys with the SFRZ 95.75/96.25/96.75/97.25 call condor, paying 12.5 total to buy both structures, ref 95.72.
  • Note, projected rate cut for year end are nearly back to yesterday's highs as short end rates rebounding.
  • November cumulative at -28.4bp (-31.1bp Tue) at 4.545, Dec'23 cumulative -50.7bp (-52.1bp Tue) at 4.322. Meanwhile, Jan'24 cumulative back to three 25bp cuts to 4.078%3.

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.