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OI Points To Mix Of SOFR Short Setting & Long Cover On Wednesday, Aus CPI The Latest Driver

STIR

The combination of OI data and yesterday’s move lower in SOFR futures points to a mix of net short setting and long cover.

  • Individual contract OI swings were limited, with the most prominent net positioning moves seemingly coming via net long cover in SFRM4 through Z4 and net short setting in SFRH5 through Z5.
  • Firmer-than expected Australian CPI data provided much of the pressure.
  • FOMC-dated OIS moved to priced ~41bp of cuts through ’24 vs. 44.5bp late on Wednesday.
26-Jun-2425-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,222,8991,226,551-3,652Whites-3,525
SFRU41,146,9901,149,041-2,051Reds+11,594
SFRZ4988,112991,030-2,918Greens+875
SFRH5814,748809,652+5,096Blues+8,744
SFRM5699,230692,763+6,467
SFRU5626,394621,084+5,310
SFRZ5813,704810,760+2,944
SFRH6560,626563,753-3,127
SFRM6479,142479,720-578
SFRU6420,158420,447-289
SFRZ6357,030354,082+2,948
SFRH7239,295240,501-1,206
SFRM7227,311221,445+5,866
SFRU7183,818182,205+1,613
SFRZ7172,721171,129+1,592
SFRH8113,956114,283-327
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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