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STIR: OI Also Points To Long Cover & Short Setting In SOFR Futures On Monday

STIR
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OI data points to a mix of net short setting and long cover during yesterday's sell off in SOFR futures, akin to positioning adjustments in Tsys.

  • Comments from Fed Governor Waller (pointing to plenty of room to cut rates, albeit with a preference for gradual steps) helped SOFR futures away from lows ahead of the close, while subsequent weakness in oil markets and Chinese equities has provided further support in pre-NY trade.
  • Cumulative cuts priced into Fed Funds futures from 4.83% effective: 22.5bp Nov, 45bp Dec, 65bp Jan and 121bp June.

 

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OI data points to a mix of net short setting and long cover during yesterday's sell off in SOFR futures, akin to positioning adjustments in Tsys.

  • Comments from Fed Governor Waller (pointing to plenty of room to cut rates, albeit with a preference for gradual steps) helped SOFR futures away from lows ahead of the close, while subsequent weakness in oil markets and Chinese equities has provided further support in pre-NY trade.
  • Cumulative cuts priced into Fed Funds futures from 4.83% effective: 22.5bp Nov, 45bp Dec, 65bp Jan and 121bp June.

 

Keep reading...Show less