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OI Points To Net Short Setting Through The Greens Post-CPI

STIR

Yesterday's move lower in SOFR futures and OI data point to net short setting as the dominant positioning factor through the greens.

  • Further out, apparent long cover in SFRZ6 dominated in the blues.
  • Shorr positioning had reduced in recent weeks as pricing of Fed '24 rate cuts deepened a little.
  • Yesterday's CPI data allowed fresh shorts to be established and pulled the pricing of '24 Fed rate cuts back towards 80bp (familiar 75-100bp range remains intact).
23-Mar-2411-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,222,4811,223,054-573Whites+51,030
SFRH41,104,2071,099,631+4,576Reds+21,518
SFRM41,129,1481,094,173+34,975Greens+1,592
SFRU4897,933885,881+12,052Blues-5,170
SFRZ41,117,2571,113,694+3,563
SFRH5681,771674,297+7,474
SFRM5718,463707,788+10,675
SFRU5627,566627,760-194
SFRZ5677,919692,283-14,364
SFRH6471,871468,516+3,355
SFRM6493,188490,140+3,048
SFRU6354,839345,286+9,553
SFRZ6336,160343,327-7,167
SFRH7192,386191,692+694
SFRM7181,549180,876+673
SFRU7150,815150,185+630
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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