OI Points To Large Long Setting In SOFR Whites & Reds Post-FOMC

The combination of preliminary OI data and yesterday’s richening on the SOFR strip points to sizable net long setting in both the whites and reds post-FOMC, with the reds seeing the largest OI swing on a net pack basis. Pockets of short cover were seen in both of those packs, although those positioning swings were relatively modest.

• Further out, the greens and blues were seemingly subjected to modest net short cover in pack terms, although pockets of net long setting were seen in both packs.
• For reference, markets have bought pricing of the first 25bp cut forward to the March ’24 FOMC vs. May '24 pre-meeting. Further out, 157bp of cuts are now priced through ’24 on the whole, vs. ~115bp pre-decision and early Thursday extremes of ~164bp.