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STIR: Short Setting Dominated In SOFR Front End During Monday's Sell Off

STIR
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OI points to a mix of short setting and long cover during Monday’s sell off in SOFR futures.

  • Short setting dominated in the front 5 contracts, after Fed Chair Powell noted that that the central planned to lower interest rates “over time”.
  • This removed some rate cut premium from the front end of the U.S. curve, as odds of a 50bp follow up cut in Nov fell.
  • Fed funds now price 35bp of cuts for November, with ~167bp of easing showing through June.

 

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OI points to a mix of short setting and long cover during Monday’s sell off in SOFR futures.

  • Short setting dominated in the front 5 contracts, after Fed Chair Powell noted that that the central planned to lower interest rates “over time”.
  • This removed some rate cut premium from the front end of the U.S. curve, as odds of a 50bp follow up cut in Nov fell.
  • Fed funds now price 35bp of cuts for November, with ~167bp of easing showing through June.

 

Keep reading...Show less