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OI Points To Net Long Setting Dominating In SOFR Futures During Powell-Driven Rally

STIR

OI data points to net long setting dominating in SOFR futures beyond SFRU4 on Wednesday, with some dovish repricing seen after Fed Chair Powell opened the door to a September rate cut.

  • Fed Funds futures now price 29bp of cuts for the Sep FOMC vs. ~28bp ahead of yesterday’s decision, while 72bp of cuts are priced through year end vs. ~68bp ahead of the decision.
31-Jul-2430-Jul-24Daily OI Change
SFRM41,131,8231,134,039-2,216
SFRU41,091,9891,068,168+23,821
SFRZ41,157,2271,176,335-19,108
SFRH5921,969896,662+25,307
SFRM5841,358828,085+13,273
SFRU5652,801660,885-8,084
SFRZ5912,531894,396+18,135
SFRH6595,792567,123+28,669
SFRM6545,267527,514+17,753
SFRU6488,876475,505+13,371
SFRZ6392,873393,139-266
SFRH7244,847235,380+9,467
SFRM7263,804250,628+13,176
SFRU7203,801200,919+2,882
SFRZ7228,897220,025+8,872
SFRH8145,511139,744+5,767
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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