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STIR: Short Setting Dominated In SOFR Futures Following Retail Sales

STIR
BulletMarketsFixed Income Bullets

OI data points to short setting in most SOFR futures during yesterday’s modest sell off.

  • The move came after in-line to slightly firmer-than-expected retail sales data,
  • We would suggest that an unwind of existing longs factored in as well, given the recent dovish moves/positioning ahead of this evening’s FOMC decision.
  • Markets still price greater-than-even odds of a 50bp cut at today’s FOMC decision, although there is an unusual degree of uncertainty evident, with ~40bp of cuts priced into OIS and ~41bp priced into Fed funds futures.

 

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OI data points to short setting in most SOFR futures during yesterday’s modest sell off.

  • The move came after in-line to slightly firmer-than-expected retail sales data,
  • We would suggest that an unwind of existing longs factored in as well, given the recent dovish moves/positioning ahead of this evening’s FOMC decision.
  • Markets still price greater-than-even odds of a 50bp cut at today’s FOMC decision, although there is an unusual degree of uncertainty evident, with ~40bp of cuts priced into OIS and ~41bp priced into Fed funds futures.

 

Keep reading...Show less