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OI Points To Long Cover In SOFR Futures Following Yesterday’s Data

STIR

OI data points to long cover dominating in SOFR futures following yesterday’s data.

  • Pockets of short setting were also seen.
  • Fed Funds futures remain anchored to pricing 100bp of cuts through year end.
  • Next week’s NFP report presents the major input ahead of the Sep FOMC, given the central bank’s increased focus on the employment side of its dual mandate.
29-Aug-2428-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,141,6781,128,906+12,772Whites-13,771
SFRU41,370,9901,377,512-6,522Reds-18,965
SFRZ41,188,6361,204,212-15,576Greens-37,374
SFRH5916,806921,251-4,445Blues-896
SFRM5888,752896,743-7,991
SFRU5672,732677,771-5,039
SFRZ5918,261901,593+16,668
SFRH6666,209688,812-22,603
SFRM6681,292723,134-41,842
SFRU6551,929564,683-12,754
SFRZ6495,603481,120+14,483
SFRH7297,499294,760+2,739
SFRM7289,654291,551-1,897
SFRU7225,357220,489+4,868
SFRZ7232,400234,519-2,119
SFRH8166,956168,704-1,748
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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