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OI Points To Net Long Setting & Short Cover On SOFR Strip As CPI Outweighed FOMC

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The combination of yesterday’s rally in SOFR futures and preliminary OI data points to a mix of net long setting and short cover through the blues.

  • The impact of the softer-than-expected CPI data outweighed the reaction to the hawkish adjustments in the Fed’s updated dot plot, with FOMC-dated OIS now fully discounting the first 25bp rate cut through the Nov FOMC.
  • FOMC-dated OIS also shows ~41bp of cuts through year end vs. post-CPI extremes of ~49bp and~36bp late on Tuesday.
  • The whites and reds saw short cover dominate in net pack OI terms, with meaningful net short cover seemingly apparent in SFRU4 and SFRU5. Some pockets of net long setting were also seen in those packs, most meaningfully in SFRH5.
  • Meanwhile, the greens and blues saw (more modest) rounds of net long setting in pack OI terms, with the most meaningful round of net long setting coming in SFRH6. Pockets of net short cover also showed up, most notably in SFRU6.
12-Jun-2411-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4904,757905,911-1,154Whites-65,494
SFRM41,334,8931,333,574+1,319Reds-56,659
SFRU41,149,5191,202,449-52,930Greens+7,329
SFRZ41,082,4431,095,172-12,729Blues+1,030
SFRH5827,127808,902+18,225
SFRM5763,640763,603+37
SFRU5666,461735,108-68,647
SFRZ5811,965818,239-6,274
SFRH6584,400564,325+20,075
SFRM6498,623495,621+3,002
SFRU6409,118421,668-12,550
SFRZ6361,526364,724-3,198
SFRH7252,666254,862-2,196
SFRM7200,778201,938-1,160
SFRU7164,561161,765+2,796
SFRZ7159,689158,099+1,590
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The combination of yesterday’s rally in SOFR futures and preliminary OI data points to a mix of net long setting and short cover through the blues.

  • The impact of the softer-than-expected CPI data outweighed the reaction to the hawkish adjustments in the Fed’s updated dot plot, with FOMC-dated OIS now fully discounting the first 25bp rate cut through the Nov FOMC.
  • FOMC-dated OIS also shows ~41bp of cuts through year end vs. post-CPI extremes of ~49bp and~36bp late on Tuesday.
  • The whites and reds saw short cover dominate in net pack OI terms, with meaningful net short cover seemingly apparent in SFRU4 and SFRU5. Some pockets of net long setting were also seen in those packs, most meaningfully in SFRH5.
  • Meanwhile, the greens and blues saw (more modest) rounds of net long setting in pack OI terms, with the most meaningful round of net long setting coming in SFRH6. Pockets of net short cover also showed up, most notably in SFRU6.
12-Jun-2411-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4904,757905,911-1,154Whites-65,494
SFRM41,334,8931,333,574+1,319Reds-56,659
SFRU41,149,5191,202,449-52,930Greens+7,329
SFRZ41,082,4431,095,172-12,729Blues+1,030
SFRH5827,127808,902+18,225
SFRM5763,640763,603+37
SFRU5666,461735,108-68,647
SFRZ5811,965818,239-6,274
SFRH6584,400564,325+20,075
SFRM6498,623495,621+3,002
SFRU6409,118421,668-12,550
SFRZ6361,526364,724-3,198
SFRH7252,666254,862-2,196
SFRM7200,778201,938-1,160
SFRU7164,561161,765+2,796
SFRZ7159,689158,099+1,590