OI Points To Mix Of Long Setting & Short Cover Across Much Of SOFR Futures Strip On Friday

The combination of Friday’s rally in most SOFR futures and preliminary OI data points to a mix of long setting and short cover across much of the strip.

• The only exceptions seemed to come via long cover in SFRH4 & M4, as those contracts settled incrementally lower on the day.
• Net short cover was seen in the remaining white contracts.
• Net long setting then provided the slightly more meaningful force in the reds.
• The greens seemed to see net short cover in all contracts.
• Net short cover seemed to provide the most meaningful net input for the blues, even though 3 out of the 4 contracts seemed to see net long setting on the day.
• French political uncertainty drove the rally in wider core global FI markets into the weekend, with a particularly soft round of UoM sentiment readings also noted.
• That left ~46bp of ’24 cuts priced into FOMC-dated OIS late last week, vs. ~36bp the week prior.
• The impact of last week's inflation data and French political uncertainty more than countered hawkish moves seen in the wake of the NFP report and FOMC decision.