OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Tuesday

The combination of yesterday’s sell off in SOFR futures and preliminary OI data points to a notable round of net long cover in most of the whites, with apparent net short setting in SFRM4 providing the only exception to the wider theme. Net long cover dominated in net pack OI terms.

• Further out the strip, net short setting was the dominant factor in the reds, albeit with pockets of net long cover also seen.
• The greens seemed to see net short setting across all contracts, while net long cover was seemingly seen in all of the blues.
• Hawkish Fedspeak and firmer-than-expected consumer confidence data weighed on SOFR futures, before feedthrough from tepid demand at the latest round of Tsy auctions filtered through to wider core global FI markets.
• Early May lows in most SOFR futures either held or went untested.
• FOMC-dated OIS shows ~31.5bp of cuts through year end.