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Today in Stuff Basically Nobody Cares About: Z1-H2 3M SOFR widened a couple ticks yday & today, even though the fixing period for H2 SOFR *doesn't include the June Fed* the only way that spread moves is if the Fed hikes in March? (Or May I guess) Even Apr/May FFs is moving
Why May? Reference quarter is last bit of Dec, Jan, Feb and first bit of Mar no?
Stop me if I’ve got this wrong, but AIUI SOFR3 futures settle off the quarter *after* the reference month. So Sep21 fixes off the period from third Weds in Sep to third Weds in Dec
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