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No Real Theme In Friday’s SOFR Futures Positioning

STIR

The combination of Friday's twist steepening of the SOFR futures strip and preliminary OI data fails to reveal a real theme on the positioning front.

  • Participants had to assess the slightly softer-than-expected unrounded core PCE data, which was followed by some notable weakness in Tsys ahead of month-end, leaving Tsy yields higher on the day.
  • Dec ’24 FOMC-dated OIS saw a modest hawkish adjustment as the impact of the move in the long end outweighed the PCE data, showing ~40bp of cuts through year end vs. ~42.5bp late on Thursday.
28-Jun-2427-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,228,1551,231,783-3,628Whites+1,188
SFRU41,144,6951,143,681+1,014Reds+10,457
SFRZ4999,184991,844+7,340Greens+7,298
SFRH5808,147811,685-3,538Blues+3,797
SFRM5706,733701,847+4,886
SFRU5632,010627,311+4,699
SFRZ5808,019807,435+584
SFRH6561,421561,133+288
SFRM6481,511480,669+842
SFRU6415,871419,378-3,507
SFRZ6354,092354,005+87
SFRH7250,507240,631+9,876
SFRM7237,616229,009+8,607
SFRU7183,873185,633-1,760
SFRZ7172,159175,925-3,766
SFRH8111,353110,637+716
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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