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STIR: Short cover In The SOFR Whites Dominated After Waller's Dovish Comments

STIR

OI data suggests that net short cover in SFRH5 & SFRM5 dominated on the SOFR strip on Thursday, as dovish Fedspeak from Fed Governor Waller allowed this week’s dovish repricing to extend a little further.

  • A mix of net long setting and short cover was generally seen elsewhere on the strip (SFRZ5 was the exception, with modest net short setting seen there).

 

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OI data suggests that net short cover in SFRH5 & SFRM5 dominated on the SOFR strip on Thursday, as dovish Fedspeak from Fed Governor Waller allowed this week’s dovish repricing to extend a little further.

  • A mix of net long setting and short cover was generally seen elsewhere on the strip (SFRZ5 was the exception, with modest net short setting seen there).

 

Keep reading...Show less