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STIR: OI Points To Mix Of Short Cover & Long Setting In SOFR Futs Post-Waller

STIR
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Friday’s uptick in most SOFR futures and OI data points to a mix of net long setting and short cover across the strip, with the most aggressive moves coming in the very front end.

  • Comments from Fed Governor Waller triggered dovish repricing late in the NY morning.
  • ~39bp of cuts are now priced into Fed funds futures for the November FOMC, with ~75bp of cuts showing through year end. That compares to ~35bp and ~72bp late Thursday/early Friday.

 

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Friday’s uptick in most SOFR futures and OI data points to a mix of net long setting and short cover across the strip, with the most aggressive moves coming in the very front end.

  • Comments from Fed Governor Waller triggered dovish repricing late in the NY morning.
  • ~39bp of cuts are now priced into Fed funds futures for the November FOMC, with ~75bp of cuts showing through year end. That compares to ~35bp and ~72bp late Thursday/early Friday.

 

Keep reading...Show less