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OI Indicates Mix Of Short Setting On Long cover On SOFR Strip On Thursday

STIR

Yesterday’s weakness on the SOFR strip and preliminary OI data point to net short setting as the dominant positioning factor on Thursday, after the week through Wednesday saw a relatively aggressive round of net long setting.

  • A pullback from best levels in core global FI helped that dynamic, along with Fedspeak from Williams & Daly.
  • Williams failed to close the door on additional tightening if the data warrants such a move, while stressing his expectations for policy to remain restrictive for quite some time.
  • Meanwhile Daly (who has typically positioned herself at the dovish end of the Fed spectrum) stressed that she is not thinking about rate cuts at present, while highlighting that it is “too early" to know if the Fed’s hiking cycle is over.
  • Note that net positioning in the whites was essentially unchanged on the day, while the greens seemingly saw some light long trimming on net.
30-Nov-2329-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3976,587960,181+16,406Whites+502
SFRZ31,465,9281,482,911-16,983Reds+32,777
SFRH41,123,6991,131,053-7,354Greens-8,082
SFRM4988,310979,877+8,433Blues+7,673
SFRU41,012,7531,010,444+2,309
SFRZ4919,583899,784+19,799
SFRH5540,631535,247+5,384
SFRM5603,386598,101+5,285
SFRU5640,923647,583-6,660
SFRZ5539,933546,385-6,452
SFRH6411,011411,475-464
SFRM6354,913349,419+5,494
SFRU6316,548312,956+3,592
SFRZ6255,368251,772+3,596
SFRH7145,727146,913-1,186
SFRM7139,837138,166+1,671
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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