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OI Points To Mix Of Positioning Swings During Yesterday's SOFR Twist Flattening

STIR

The combination of yesterday’s twist flattening of the SOFR strip and preliminary OI data points to a mix of net long cover and short setting through SFRU5.

  • This came as the market-implied odds of a 50bp cut at the Sep FOMC reduced following the CPI data.
  • Still, the data didn’t meaningfully impact terminal rate pricing and was seen as confirmatory when it comes starting the impending Fed easing cycle.
  • This allowed a mix of net long setting and short cover to dominate from SFRH6 outwards.
14-Aug-2413-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,133,2641,130,363+2,901Whites-11,080
SFRU41,098,9291,098,671+258Reds+11,611
SFRZ41,112,5711,119,136-6,565Greens+26,583
SFRH5927,876935,550-7,674Blues-5,575
SFRM5809,968817,034-7,066
SFRU5686,256678,128+8,128
SFRZ5878,882874,839+4,043
SFRH6674,770668,264+6,506
SFRM6629,974619,718+10,256
SFRU6572,388561,252+11,136
SFRZ6492,371490,238+2,133
SFRH7265,365262,307+3,058
SFRM7252,387251,996+391
SFRU7210,832212,846-2,014
SFRZ7241,433245,947-4,514
SFRH8166,086165,524+562
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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