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
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The contract specs are a bit weird, but there’s also this:pic.twitter.com/cCm6JSjvHN
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Oh ok — so H22 is March contract month which means June delivery month, hence reference quarter is Mar-Jun?
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