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STIR: OI Points To Mix Of Positioning Swings During SOFR Twist Steepening Tues

STIR
BulletMarketsFixed Income Bullets

OI points to a mix of net short cover, long cover and short setting as SOFR futures twist steepened on Tuesday.

  • Spill over from dovish ECB headlines helped the very front end outperform into the close.
  • Fed pricing little changed to incrementally more dovish on Tuesday as a result.
  • Drift lower in Tsys since yesterday’s close has generated modest hawkish moves, leaving 23bp of cuts priced for November, 41bp of cuts through December, 78bp of cuts through March and 109bp of cuts through June.

 

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OI points to a mix of net short cover, long cover and short setting as SOFR futures twist steepened on Tuesday.

  • Spill over from dovish ECB headlines helped the very front end outperform into the close.
  • Fed pricing little changed to incrementally more dovish on Tuesday as a result.
  • Drift lower in Tsys since yesterday’s close has generated modest hawkish moves, leaving 23bp of cuts priced for November, 41bp of cuts through December, 78bp of cuts through March and 109bp of cuts through June.

 

Keep reading...Show less