Free Trial

OI Points To Net Short Setting & Long Cover In SOFR Futures On Monday

STIR

The combination of yesterday's move lower in SOFR futures and preliminary open interest data points to a mix of net short setting and long cover across the strip.

  • The whites and greens were titled more towards net long cover, while the reds and the blues were biased towards net short setting.
  • Comments from Bostic ('24 voter) continued to point to two '24 cuts and played down the need for rate cuts at consecutive meetings when the easing cycle gets underway.
  • Bostic's '24 cutting view is shallower than both the median dot in the Fed's Dec '23 SEP (75bp of '24 cuts) and market pricing (86bp of '24 cuts, per FOMC-dated OIS).
  • This applied some modest pressure to SOFR futures in the NY afternoon, but the strip was already lower on the day.
04-Mar-2401-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,227,6131,225,557+2,056Whites-4,579
SFRH41,069,4291,082,139-12,710Reds+12,882
SFRM41,083,7731,085,032-1,259Greens-14,045
SFRU4873,251865,917+7,334Blues+14,037
SFRZ41,102,4691,107,079-4,610
SFRH5673,721667,096+6,625
SFRM5716,830708,547+8,283
SFRU5659,993657,409+2,584
SFRZ5703,405701,270+2,135
SFRH6484,924491,508-6,584
SFRM6481,833486,626-4,793
SFRU6332,929337,732-4,803
SFRZ6313,245305,753+7,492
SFRH7191,996190,459+1,537
SFRM7180,910176,244+4,666
SFRU7149,355149,013+342
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.