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OI Indicates Short Setting Dominated In SOFR On Monday, Pockets Of Long Cover Also Seen

STIR

The combination of yesterday's move lower in SOFR futures and preliminary OI data point to fresh net short setting as the dominant positioning swing during Monday trade, although pockets of apparent long cover were also seen. Indeed, the reds seemed to see long cover in net pack terms.

  • A quick reminder that participants started to question the viability/degree of the Fed rate cuts priced in for '24, which triggered a move away from Friday's dovish session extremes.
04-Dec-2301-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,084,5151,000,697+83,818Whites+93,531
SFRZ31,490,1551,486,274+3,881Reds-22,135
SFRH41,086,5881,091,815-5,227Greens+14,276
SFRM41,007,253996,194+11,059Blues+7,350
SFRU4981,215989,036-7,821
SFRZ4926,772943,798-17,026
SFRH5542,834544,428-1,594
SFRM5602,785598,479+4,306
SFRU5627,858632,878-5,020
SFRZ5564,062552,692+11,370
SFRH6410,972405,330+5,642
SFRM6356,303354,019+2,284
SFRU6324,777320,026+4,751
SFRZ6257,816260,796-2,980
SFRH7155,314151,128+4,186
SFRM7137,758136,365+1,393
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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