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Free AccessMNI ASIA OPEN: KC Fed Schmid Tempers Rate Cut Expectations
MNI ASIA MARKETS ANLAYSIS: Geopol Tensions Elevated
OI Points To Mix Of Long Setting & Short Cover In SOFR Futures On Soft Retail Sales
The combination of yesterday’s rally in most SOFR futures and preliminary OI data points to the following net positioning swings on Tuesday:
- Whites: Little net movement in SFRH4 positioning, net short setting in SFRM4, net long setting in SFRU4 and net short cover in SFRZ4.
- Reds: A mix of net short cover and long setting, with the former dominating in net pack OI terms.
- Greens: A mix of net short cover and long setting, with the latter dominating in net pack OI terms.
- Blues: Net long setting seemed to be seen in all contracts.
- Softer-than-expected retail sales data, coupled with negative revisions, provided the major input on Tuesday.
- That reintroduced some rate cut premium into markets, with FOMC-dated OIS showing ~44bp of ’24 cuts in late NY trade vs. ~41bp late on Monday.
18-Jun-24 | 17-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRH4 | 904,339 | 904,862 | -523 | Whites | +26,062 |
SFRM4 | 1,240,596 | 1,200,808 | +39,788 | Reds | -13,014 |
SFRU4 | 1,141,470 | 1,133,941 | +7,529 | Greens | +14,117 |
SFRZ4 | 983,657 | 1,004,389 | -20,732 | Blues | +25,179 |
SFRH5 | 815,188 | 816,088 | -900 | ||
SFRM5 | 713,887 | 730,602 | -16,715 | ||
SFRU5 | 625,820 | 621,338 | +4,482 | ||
SFRZ5 | 807,455 | 807,336 | +119 | ||
SFRH6 | 567,984 | 572,473 | -4,489 | ||
SFRM6 | 483,973 | 472,041 | +11,932 | ||
SFRU6 | 419,663 | 414,698 | +4,965 | ||
SFRZ6 | 358,115 | 356,406 | +1,709 | ||
SFRH7 | 250,252 | 250,228 | +24 | ||
SFRM7 | 208,445 | 193,582 | +14,863 | ||
SFRU7 | 185,213 | 175,345 | +9,868 | ||
SFRZ7 | 164,084 | 163,660 | +424 |
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.