STIR: Effective Fed Funds Rate
Sep-13 13:09
FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 5.33% (+0.00), volume: $111B
- Daily Overnight Bank Funding Rate: 5.33% (+0.00), volume: $265B
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EURIBOR OPTIONS: Call fly buyer
Aug-14 12:57
ERX4 97.00/97.12/97.25c fly, bought for 2 in 6.5k.
SONIA: Call fly
Aug-14 12:54
SFIU4 95.24/95.40/95.55c fly bought for 2.5 in 5k.
STIR: Slight Hawkish Reaction To CPI, Over 100bp Of ’24 Fed Cuts Still Priced
Aug-14 12:52
Fed Funds futures now price ~37.5bp of cuts for the Sep FOMC & ~105bp of cuts through the Dec meeting vs. ~39.5bp & ~107bp seen into the CPI data.
- The initial market reaction to the data leaned dovish as the M/M headline and core prints were low in unrounded terms, while the Y/Y headline reading was 0.1ppt below expectations.
- That move quickly faded, with the previously identified long positioning bias and already meaningful degree of Fed easing priced providing limiting factors.
- Elsewhere, supercore M/M CPI was virtually in line with expectations, providing further counter to the initial dovish move.
