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STIR: OI Suggests Short Setting Dominated In SOFR Futures On Thursday

STIR

OI points to net short setting dominating on the SOFR futures strip during Thursday’s retail sales-driven sell off.

  • Only modest, fairly isolated rounds of net long cover seen
  • Dovish ECB pricing provides some marginal counter ahead of NY trade.
  • Fed Funds pricing cumulative cuts from 4.83% effective: 23bp Nov, 44bp Dec, 61bp Jan and 118bp June.

 

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OI points to net short setting dominating on the SOFR futures strip during Thursday’s retail sales-driven sell off.

  • Only modest, fairly isolated rounds of net long cover seen
  • Dovish ECB pricing provides some marginal counter ahead of NY trade.
  • Fed Funds pricing cumulative cuts from 4.83% effective: 23bp Nov, 44bp Dec, 61bp Jan and 118bp June.

 

Keep reading...Show less