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OI Indicates Long Setting As Dominant SOFR Positioning Factor On Tuesday

STIR

The combination of yesterday’s rally in SOFR futures and preliminary OI data points to net long setting as the dominant factor on the SOFR strip on Tuesday.

  • The whites saw the largest such swing on a pack basis, with the well-documented dovish commentary from Fed Governor Waller (who pulled further away from his reputation as a hawk) filtering through.
  • Also note that hedge fund manager Bill Ackman suggested that the first Fed rate cut could come as soon as Q124, with BBG headlines noting "Bill Ackman Bets Fed Will Cut Rates as Soon as First Quarter."
  • Pockets of apparent short cover were also seen, most notably in the reds, which seemingly saw short cover in net terms on a pack basis.
28-Nov-2327-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3980,875963,342+17,533Whites+60,006
SFRZ31,436,8241,401,537+35,287Reds-9,716
SFRH41,151,1041,128,441+22,663Greens+25,898
SFRM4973,675989,152-15,477Blues+17,883
SFRU4935,837934,616+1,221
SFRZ4889,546895,139-5,593
SFRH5541,034535,354+5,680
SFRM5606,410617,434-11,024
SFRU5663,950662,133+1,817
SFRZ5551,873539,344+12,529
SFRH6401,865397,116+4,749
SFRM6332,324325,521+6,803
SFRU6309,850309,838+12
SFRZ6249,239246,875+2,364
SFRH7146,305134,567+11,738
SFRM7139,007135,238+3,769
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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