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OI Points To Net Short Setting & Long Cover In SOFR Futures As '24 Cut Pricing Moved Sub-75bp

STIR

Friday's move lower in most SOFR futures and preliminary OI data points to net short setting as the dominant positioning theme in the whites, reds and blues, while net long cover seemed to dominate in the greens.

  • SFRM4 saw the largest net positioning swing, with over 100K lots of fresh net shorts seemingly set.
  • Fed rate cut premium continued to ease on Friday, with less than 75bp of cuts being priced through '24 (Fed Dec '23 SEP pointed to 75bp of cuts, set to be updated alongside Wednesday's monetary policy decision, see our preview for more on that matter).
  • Hawkish ideas dominated over the weekend via the higher for longer argument in the FT's latest survey, while talk of Trump appointing a hawkish Fed Chair if he wins the election was also noted.
15-Mar-2414-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,223,9531,224,094-141Whites+87,848
SFRH41,228,8711,126,554+102,317Reds+70,405
SFRM41,123,0791,128,454-5,375Greens-24,666
SFRU4901,495910,448-8,953Blues+20,702
SFRZ41,118,0071,087,494+30,513
SFRH5739,965712,797+27,168
SFRM5762,343754,987+7,356
SFRU5654,502649,134+5,368
SFRZ5659,085663,934-4,849
SFRH6468,398486,677-18,279
SFRM6488,064487,577+487
SFRU6361,108363,133-2,025
SFRZ6339,675334,588+5,087
SFRH7203,537191,372+12,165
SFRM7185,817183,511+2,306
SFRU7151,891150,747+1,144
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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