STIR: Fed Rates Near Most Hawkish In Recent Months, Pre-Blackout Fedspeak Ahead
- US rates are little changed on the day as they hold yesterday’s hawkish shift sparked primarily by surprisingly low weekly jobless claims data, shifting further away from fully pricing a next cut in June.
- With today’s data calendar consisting of lower tier releases, we expect greater focus on today’s Fedspeak from permanent voters Bowman and Jefferson in the last updates before the FOMC blackout starts at the weekend.
- Whilst they are unlikely to sway extremely low market expectations of a cut in two weeks, any surprises could have a greater impact further out. We suspect Jefferson could carry more impact, being closer to the central view of core FOMC leadership, coming late in the session.
- Cumulative cuts from 3.64% effective: 1bp Jan, 5bp Mar, 9.5bp Apr, 21bp Jun, 28bp Jul, 37bp Sep, 48.5bp Dec.
- SOFR futures are little changed overnight, with a terminal implied yield of 3.215% (currently H7) after yesterday’s 3.22% marked a fresh high since the day ahead of the Dec FOMC, and having last been higher in July.
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EQUITY OPTIONS: HUGE Commerzbank Option
- CBK (18/06/27 vs 16/06/28) 20p, trades 1.23 for the 2028 in 200k.
There is 288k OI in that 2027 strike, so could be rolling that put further out.
SOFR: Mix of Net Long Setting & Short Cover in Futures on Tuesday
OI data points to net long setting dominating in SOFR futures as most contracts settled higher on Tuesday. Instances of net short cover were limited in scale.
| 16-Dec-25 | 15-Dec-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,307,651 | 1,299,410 | +8,241 | Whites | +59,981 |
SFRZ5 | 1,572,341 | 1,568,810 | +3,531 | Reds | +20,336 |
SFRH6 | 1,385,349 | 1,376,296 | +9,053 | Greens | +4,734 |
SFRM6 | 1,154,210 | 1,115,054 | +39,156 | Blues | +28,980 |
SFRU6 | 1,201,807 | 1,177,910 | +23,897 |
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SFRZ6 | 1,135,640 | 1,140,470 | -4,830 |
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SFRH7 | 872,290 | 869,580 | +2,710 |
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SFRM7 | 765,102 | 766,543 | -1,441 |
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SFRU7 | 829,714 | 822,139 | +7,575 |
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SFRZ7 | 842,026 | 841,487 | +539 |
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SFRH8 | 475,302 | 478,724 | -3,422 |
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SFRM8 | 416,723 | 416,681 | +42 |
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SFRU8 | 383,848 | 384,551 | -703 |
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SFRZ8 | 336,817 | 321,077 | +15,740 |
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SFRH9 | 207,348 | 196,101 | +11,247 |
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SFRM9 | 210,336 | 207,640 | +2,696 |
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US TSY FUTURES: Net Long Setting In UXY & US Dominated On Tuesday
OI data points to a mix of net long setting (TU, FV, UXY & US) and short cover (TY & WN) as Tsy futures ticked higher on Tuesday. Net long setting across UXY & US futures provided the only real net positioning swings of note and accounted for almost all of the net DV01 swing on the day.
| 16-Dec-25 | 15-Dec-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,502,427 | 4,502,056 | +371 | +14,726 |
FV | 6,666,243 | 6,645,718 | +20,525 | +908,200 |
TY | 5,419,053 | 5,425,920 | -6,867 | -461,191 |
UXY | 2,516,405 | 2,504,545 | +11,860 | +1,072,478 |
US | 1,858,809 | 1,834,961 | +23,848 | +3,300,708 |
WN | 2,080,065 | 2,081,956 | -1,891 | -341,451 |
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| Total | +47,846 | +4,493,469 |
