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STIR: Long Cover Dominated On SOFR Strip Again On Thursday

STIR

OI points to long cover dominating on the SOFR strip during Thursday's sell off, with only some pockets of short setting seen.

  • That paints a similar positioning picture to what was seen in the long end, with a rally in oil and data promoting the removal of some Fed rate cut premium.
  • Cumulative cuts from 4.83% effective: 34bp Nov, 66bp Dec, 95bp Jan and 151bp June.
  • There seems to be a better balance in positioning ahead of today’s NFP data (which we will cover in greater detail ahead of the release).

 

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OI points to long cover dominating on the SOFR strip during Thursday's sell off, with only some pockets of short setting seen.

  • That paints a similar positioning picture to what was seen in the long end, with a rally in oil and data promoting the removal of some Fed rate cut premium.
  • Cumulative cuts from 4.83% effective: 34bp Nov, 66bp Dec, 95bp Jan and 151bp June.
  • There seems to be a better balance in positioning ahead of today’s NFP data (which we will cover in greater detail ahead of the release).

 

Keep reading...Show less