ATGGLOBAL MARKETS
RESEARCH
Research archiveARCHIVED THESIS

SOFR flattener

Avoid flattener; context only, old plan stays canceled.

Historical research, not a current entry recommendation. A retired thesis does not imply an executed paper exit.

Archived expression

Long March 2027 SOFR · SR3H27 / short December 2026 SOFR · SR3Z26

Fresh SR3Z26 95.680 at 00:02:29Z and SR3H27 95.425 at 00:03:20Z imply 25.5 bp higher later-quarter rate, not meeting probabilities or executable synchronized spread. A +H27/−Z26 pair at 0/25/65-bp outcomes weighted 25/50/25 gives −$145.25 after $64 friction; $1,142.13 stop risk fits. Resilient nominal demand explains the tightening premium. Reopen only after material policy/activity change.

The dated record

  1. Retired research — Avoid flattener; context only, old plan stays canceled.
  2. Retired research — Avoid flattener; context only, old plan stays canceled.
  3. Retired research — Avoid flattener; context only, old plan stays canceled.
  4. Retired research — Avoid flattener; context only, old plan stays canceled.
  5. Retired research — Avoid flattener; context only, old plan stays canceled.
  6. Retired research — Avoid flattener; context only, old plan stays canceled.
  7. Retired research — Avoid flattener; context only, old plan stays canceled.
  8. Retired research — Avoid flattener; context only, old plan stays canceled.
  9. Retired research — Avoid flattener; context only, old plan stays canceled.
  10. Retired research — Avoid flattener; context only, old plan stays canceled.
  11. Retired research — Avoid flattener; context only, old plan stays canceled.
  12. Retired research — Avoid flattener; context only, old plan stays canceled.
  13. Retired research — Avoid flattener; context only, old plan stays canceled.
  14. Retired research — Avoid flattener; context only, old plan stays canceled.
  15. Retired research — Avoid flattener; context only, old plan stays canceled.
  16. Retired research — Avoid flattener; context only, old plan stays canceled.
  17. Retired research — Avoid flattener; context only, old plan stays canceled.
  18. Retired research — Avoid flattener; context only, old plan stays canceled.
  19. Retired research — Avoid flattener; context only, old plan stays canceled.
  20. Retired research — Avoid flattener; context only, old plan stays canceled.
  21. Retired research — Avoid flattener; context only, old plan stays canceled.
  22. Retired research — Avoid flattener; context only, old plan stays canceled.
  23. Retired research — Avoid flattener; context only, old plan stays canceled.
  24. Retired research — Avoid flattener; context only, old plan stays canceled.
  25. Retired research — Avoid flattener; context only, old plan stays canceled.
  26. Retired research — Avoid flattener; context only, old plan stays canceled.
  27. Retired research — Avoid flattener; context only, old plan stays canceled.
  28. Retired research — Avoid flattener; context only, old plan stays canceled.
  29. Retired research — Avoid flattener; context only, old plan stays canceled.
  30. Retired research — Avoid flattener; context only, old plan stays canceled.
  31. Retired research — Avoid flattener; context only, old plan stays canceled.
  32. Retired research — Avoid flattener; context only, old plan stays canceled.
  33. Retired research — Avoid flattener; context only, old plan stays canceled.
  34. Retired research — Avoid flattener; context only, old plan stays canceled.
  35. Retired research — Avoid flattener; context only, old plan stays canceled.
  36. Retired research — Avoid flattener; context only, old plan stays canceled.
  37. Retired research — Avoid flattener; context only, old plan stays canceled.
  38. Retired research — Avoid flattener; context only, old plan stays canceled.
  39. Retired research — Avoid flattener; context only, old plan stays canceled.
  40. Retired research — Avoid flattener; context only, old plan stays canceled.
  41. Retired research — Avoid flattener; context only, old plan stays canceled.
  42. Retired research — Avoid flattener; context only, old plan stays canceled.
  43. Retired research — Avoid flattener; context only, old plan stays canceled.
  44. Retired research — Avoid flattener; context only, old plan stays canceled.
  45. Retired research — Avoid flattener; context only, old plan stays canceled.
  46. Retired research — Avoid flattener; context only, old plan stays canceled.
  47. Retired research — Avoid flattener; context only, old plan stays canceled.
  48. Retired research — Avoid flattener; context only, old plan stays canceled.
  49. Retired research — Avoid flattener; context only, old plan stays canceled.
  50. Retired research — Avoid flattener; context only, old plan stays canceled.
  51. Retired research — Avoid flattener; context only, old plan stays canceled.
  52. Retired research — Avoid flattener; context only, old plan stays canceled.
  53. Retired research — Avoid flattener; context only, old plan stays canceled.
  54. Retired research — Avoid flattener; context only, old plan stays canceled.
  55. Retired research — Avoid flattener; context only, old plan stays canceled.
  56. Retired research — Avoid flattener; context only, old plan stays canceled.
  57. Retired research — Avoid flattener; context only, old plan stays canceled.
  58. Retired research — Avoid flattener; context only, old plan stays canceled.
  59. Retired research — Avoid flattener; context only, old plan stays canceled.
  60. Retired research — Avoid flattener; context only, old plan stays canceled.
  61. Retired research — Avoid flattener; context only, old plan stays canceled.
  62. Retired research — Avoid flattener; context only, old plan stays canceled.
  63. Retired research — Avoid flattener; context only, old plan stays canceled.
  64. Retired research — Avoid flattener; context only, old plan stays canceled.
  65. Retired research — Avoid flattener; context only, old plan stays canceled.
  66. Retired research — Avoid flattener; context only, old plan stays canceled.
  67. Retired research — Avoid flattener; context only, old plan stays canceled.
  68. Retired research — Avoid flattener; context only, old plan stays canceled.
  69. Retired research — Avoid flattener; context only, old plan stays canceled.
  70. Retired research — Avoid flattener; context only, old plan stays canceled.
  71. Retired research — Avoid flattener; context only, old plan stays canceled.
  72. Retired research — Avoid flattener; context only, old plan stays canceled.
  73. Retired research — Avoid flattener; context only, old plan stays canceled.
  74. Retired research — Avoid flattener; context only, old plan stays canceled.
  75. Retired research — Avoid flattener; context only, old plan stays canceled.
  76. Retired research — Avoid flattener; context only, old plan stays canceled.
  77. Retired research — Avoid flattener; context only, old plan stays canceled.
  78. Retired research — Avoid flattener; context only, old plan stays canceled.
  79. Retired research — Avoid flattener; context only, old plan stays canceled.
  80. Retired research — Avoid flattener; context only, old plan stays canceled.
  81. Retired research — Avoid flattener; context only, old plan stays canceled.
  82. Retired research — Avoid flattener; context only, old plan stays canceled.
  83. Retired research — Avoid flattener; context only, old plan stays canceled.
  84. Retired research — Avoid flattener; context only, old plan stays canceled.
  85. Retired research — Avoid flattener; context only, old plan stays canceled.
  86. Retired research — Avoid flattener; context only, old plan stays canceled.
  87. Retired research — Avoid flattener; context only, old plan stays canceled.
  88. Retired research — Avoid flattener; context only, old plan stays canceled.
  89. Retired research — Avoid flattener; context only, old plan stays canceled.
  90. Retired research — Avoid flattener; context only, old plan stays canceled.
  91. Retired research — Avoid flattener; context only, old plan stays canceled.
  92. Retired research — Avoid flattener; context only, old plan stays canceled.
  93. No action — current edge not established — H27 minus Z26 remains −0.260 index points, implying a 26-basis-point higher later-quarter rate. Restrictive policy provides a plausible reason for that slope. One weak manufacturing month is not a sufficient flattening catalyst, and the spread is not a literal meeting probability. The demoted plan has no established current edge and must not be revived mechanically.
  94. No action; wider slope alone does not create a flattening edge — SOFR steepened modestly; retain the context-only demotion.
  95. No action; retain economic demotion despite recovered curve data — Curve visibility improved; the suspended flattener is not reactivated.
  96. Suspend / No action until rebuilt — FOMC completed, but former spread terms remain cancelled.
  97. Suspend / No action until fresh synchronized legs and post-FOMC terms exist — SOFR setup remains suspended.
  98. No action; former levels remain cancelled pending a post-FOMC rebuild — The SOFR watch remains demoted because prospective trade terms and evidence remain incomplete.
  99. Wait / No action; fresh exact-contract evidence unavailable — The SOFR watch remains demoted because prospective trade terms and evidence remain incomplete.
  100. Wait; approximately 21 bp vendor settlement diagnostic lacks full-precision synchronized legs — The SOFR watch remains demoted because prospective trade terms and evidence remain incomplete.
  101. No action; keep demoted — The SOFR watch remains demoted because prospective trade terms and evidence remain incomplete.
  102. No action; keep demoted — The SOFR watch remains demoted because prospective trade terms and evidence remain incomplete.
  103. Wait; demote from entry consideration — The SOFR watch remains demoted because prospective trade terms and evidence remain incomplete.
  104. Wait — Keep the structure suspended until a complete post-FOMC thesis and risk plan exist.
  105. Wait — The cancelled flattener remains incomplete and unsupported ahead of FOMC.
  106. Wait — Energy-led inflation further weakens the cancelled flattener; package mechanics and risk terms remain incomplete.
  107. Wait — Steepening and higher inflation expectations do not restore the cancelled/incomplete flattener.
  108. Wait — Tiny flattening does not restore the cancelled/incomplete trade.
  109. Wait — Prior flattener remains cancelled. Hot PPI and seven-basis-point steepening are adverse to long-H/short-Z if held; no complete replacement trade is defined.
  110. Wait — Slope steepened 0.5 bp to 15.0. ECEC is a compensation-cost level release, not a new ECI inflation surprise; retain the cancelled watch pending actual PPI/CPI and complete prospective terms.
  111. Wait — The forward slope steepened instead of delivering confirmation. Wider slope offers more hypothetical flattening room, but does not revive the cancelled event setup or establish a new policy edge.
  112. Wait — A half-basis-point flattening versus the baseline did not provide fresh policy confirmation. The old event-entry setup remains cancelled; the structural idea is only a watch.
  113. Wait — Wait; larger possible flattening payoff does not repair weaker policy timing.
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