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STIR: OI Points To Large Short Setting In SFRZ4, Further Unwind Of SFRZ5 Longs

STIR

The combination of OI data and Wednesday’s extension of the recent hawkish repricing in SOFR futures points to a mix of net short setting and long cover.

  • Apparent net short setting in SFRZ4 provided the most meaningful net positioning swing, while SFRZ5 was seemingly subjected to relatively notable long cover for a third consecutive day.
  • Cumulative cuts priced into Fed Funds futures from the current 4.83% effective rate: 23bp Nov, 42bp Dec, 59bp Jan and 110bp June.

 

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The combination of OI data and Wednesday’s extension of the recent hawkish repricing in SOFR futures points to a mix of net short setting and long cover.

  • Apparent net short setting in SFRZ4 provided the most meaningful net positioning swing, while SFRZ5 was seemingly subjected to relatively notable long cover for a third consecutive day.
  • Cumulative cuts priced into Fed Funds futures from the current 4.83% effective rate: 23bp Nov, 42bp Dec, 59bp Jan and 110bp June.

 

Keep reading...Show less