LOOK AHEAD: Wednesday Data Calendar

• US rates have seen another marked shift lower overnight, with a 25bp hike this year more than 80% priced as the 1944ET deadline looms for President Trump’s 48-hour ultimatum to Iran to re-open the Strait of Hormuz.
• Cumulative hikes from 3.64% effective: 5bp Apr, 10bp Jun, 12.5bp Jul, 17.5bp Sep, 21bp Oct, 20bp Dec and 12.5bp Jun 2027.
• SOFR futures continue to see losses concentrated around the Z6-H7 area, currently down as much as 14 ticks in the H7.
• Terminal implied yields see more muted daily moves but nevertheless continue to push higher, currently 3.525% (H8, +4.5bp) having last closed higher in early Apr 2025.  
• Fed Governor Miran (voter, dovish dissenter) speaks on BBG TV at 0845ET after mixed post-FOMC comments from other dovish permanent voters on Friday: Waller dialled back his dovishness but Bowman stuck with three 2026 cuts in her March SEP entry. Miran has in the past chosen to avoid writing a traditional dissenting statement so expect him to lay out his rationale here instead. 

SX5E (15th May) 4775/4725ps, bought for 7.2 in 22k.

OI data points to net short setting dominating through the greens as SOFR futures sold off on Friday, comfortably outweighing any pockets of net long cover. Net long cover then came to the fore in the blues.