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Long Setting In SFRM4 Seen On Thursday

STIR

Net long setting in SFRM4 dominated when it came to positioning adjustments in SOFR futures on Thursday.

  • The continuing jobless claims and core durable goods orders data likely drove that swing.
  • Net positioning movement in other contracts appeared to be modest.
  • FOMC-dated OIS showed ~42.5bp of ’24 cuts late on Thursday, little changed on the day.
  • PCE data headlines ahead of the weekend, providing the potential for notable movement in the space.
27-Jun-2426-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,245,8201,220,695+25,125Whites+22,297
SFRU41,143,3451,146,990-3,645Reds-2,133
SFRZ4991,835988,466+3,369Greens-910
SFRH5812,196814,748-2,552Blues+3,527
SFRM5701,847699,230+2,617
SFRU5627,388626,394+994
SFRZ5807,435813,699-6,264
SFRH6561,133560,613+520
SFRM6480,669479,142+1,527
SFRU6419,378420,158-780
SFRZ6354,021357,014-2,993
SFRH7240,631239,295+1,336
SFRM7229,029227,307+1,722
SFRU7185,633183,818+1,815
SFRZ7175,925172,721+3,204
SFRH8110,690113,904-3,214
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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