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STIR: OI Points To Short Setting & Long Cover During Thursday's SOFR Sell Off

STIR
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OI data points to a mix of short setting and long cover during yesterday's data-driven weakness in SOFR futures.

  • Fed rate cut premium was removed from the market following lower-than-expected weekly initial jobless claims data and firmer-than-expected durable goods readings.
  • As noted elsewhere, November rates are 3bp higher than prior to yesterday’s data whilst Dec rates are 5bps higher.
  • Cumulative cuts from 4.83% effective: 38bp Nov, 74bp Dec, 105bp Jan and 169bp June.
  • The above implied rate path is derived from Fed funds futures.

 

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OI data points to a mix of short setting and long cover during yesterday's data-driven weakness in SOFR futures.

  • Fed rate cut premium was removed from the market following lower-than-expected weekly initial jobless claims data and firmer-than-expected durable goods readings.
  • As noted elsewhere, November rates are 3bp higher than prior to yesterday’s data whilst Dec rates are 5bps higher.
  • Cumulative cuts from 4.83% effective: 38bp Nov, 74bp Dec, 105bp Jan and 169bp June.
  • The above implied rate path is derived from Fed funds futures.

 

Keep reading...Show less