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OI Points To Long Setting In SOFR Greens On Thursday

STIR

The combination of yesterday’s uptick in SOFR futures and preliminary OI data points to a mix of net long setting and short cover through the blues.

  • Those forces largely offset when it came to net pack OI movement in the whites & reds.
  • The greens saw net long setting in all 4 contracts, providing the most meaningful net OI change in pack terms.
  • The blues also saw a slightly more pronounced bias towards long setting than both the whites and reds.
  • The dovish BoE outcome and weekly jobless claims data factored into the SOFR uptick.
  • Those looking for cross-market monetary policy divergence plays may be emboldened by the prospect of a seemingly imminent ECB cut, as well as the BoE’s insistence that the inflation picture is different in the UK than it is in Europe.
  • The latter has opened up the potential for a swifter round of UK rate cuts than markets currently discount.
09-May-2408-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4912,366911,794+572Whites+2,213
SFRM41,081,9461,087,561-5,615Reds-2,313
SFRU41,087,6621,080,962+6,700Greens+16,858
SFRZ41,205,5631,205,007+556Blues+5,368
SFRH5781,507788,029-6,522
SFRM5802,935801,736+1,199
SFRU5711,632711,736-104
SFRZ5845,255842,141+3,114
SFRH6507,616505,952+1,664
SFRM6537,151530,832+6,319
SFRU6413,041405,697+7,344
SFRZ6364,205362,674+1,531
SFRH7245,764247,244-1,480
SFRM7182,138180,456+1,682
SFRU7174,219172,527+1,692
SFRZ7145,407141,933+3,474
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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