FOREX: NZDUSD Extends Weekly Decline to 2.5%
* Latest tariff developments have prompted a solid 1.2% recovery for the USD index from the week's...
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STIR: Mix Of Short Setting & Long Cover Seen In SOFR Futures On Tuesday
OI data indicates a mix of net short setting and long cover during Tuesday’s downtick in SOFR futures.
- There was a fairly balanced round of net long setting and short cover when assessing the strip-wide adjustments.
- Net short setting was most concentrated in the whites and blues, while net long cover was seen in the reds.
- Contracts were nowhere near unwinding Monday’s dovish move that followed DeepSeek’s AI advances.
| 28-Jan-25 | 27-Jan-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,055,871 | 1,050,808 | +5,063 | Whites | +17,028 |
SFRH5 | 1,200,610 | 1,201,641 | -1,031 | Reds | -26,197 |
SFRM5 | 1,038,095 | 1,035,110 | +2,985 | Greens | +83 |
SFRU5 | 762,009 | 751,998 | +10,011 | Blues | +7,594 |
SFRZ5 | 980,818 | 998,040 | -17,222 |
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SFRH6 | 684,602 | 691,295 | -6,693 |
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SFRM6 | 641,413 | 645,903 | -4,490 |
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SFRU6 | 605,342 | 603,134 | +2,208 |
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SFRZ6 | 708,091 | 713,344 | -5,253 |
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SFRH7 | 485,489 | 481,562 | +3,927 |
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SFRM7 | 405,204 | 401,420 | +3,784 |
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SFRU7 | 286,913 | 289,288 | -2,375 |
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SFRZ7 | 265,639 | 265,400 | +239 |
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SFRH8 | 214,934 | 212,492 | +2,442 |
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SFRM8 | 184,101 | 181,731 | +2,370 |
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SFRU8 | 119,284 | 116,741 | +2,543 |
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CROSS ASSET: MONTH END EXTENSION (UPDATED)
Massive for UK Bonds, decent for Europe, and small for the US.
Bloomberg Bonds projected:
- US Tsys: +0.07yr (small, average).
- EU Govies: +0.10yr (decent).
- UK Govies: +0.23yr (HUGE).
MS Bonds:
- US Tsys: +0.05yr (small).
- EU Govies: +0.07yr (small, average).
- UK Govies: +0.17yr (LARGE).
Citi Bonds:
- EU Govies: +0.10yr (decent).
- UK Govies: +0.19yr (HUGE).
Barclays FX:
- Their rebalancing model indicates a moderate dollar selling signal against most majors and the signal for Cable is borderline strong.
Credit Agricole FX:
- They see mild USD selling across the board with the strongest sell signal vs the Yen. Their corporate flow model points to EUR selling also.
Deutsche FX:
- They see mild USD buying (vs EUR and SEK, NOK), while seasonality points toward broad USD selling.
STIR: Fed Rates Unchanged Overnight, 50bp Of Cuts For 2025
- Fed Funds implied rates have firmed a touch recently to sit unchanged from yesterday’s close, fading a modest rally in European rates as markets eye today’s FOMC decision.
- The 50bp of cuts for 2025 is exactly in line with the median dot from last month’s SEP, having at one point in mid-Jan briefly priced less than 25bp for the year on spillover from a strong payrolls report.
- Cumulative cuts from 4.33% effective: 0.5bp for today, 8bp Mar, 15.5bp May, 27.5bp Jun, 32.5bp Jul and 50bp Dec.
- MNI Fed Preview: https://media.marketnews.com/Fed_Prev_Jan2025_With_Analysts_c155c1a3c6.pdf
