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OI Points To Short Cover In Most SOFR Futures On Friday

STIR

The combination of Friday's move higher in SOFR futures and preliminary OI data points to short cover as the dominant positioning factor across the SOFR futures strip.

  • The blues seemed to see net long setting in pack terms, although that was driven by one contract, with short cover seemingly seen elsewhere.
  • Softer-than-expected economic data (ISM m'fing and final UoM sentiment surveys) and Fedspeak factored into the move.
  • Ahead of Friday positioning was seemingly skewed short after the recent removal of rate cut premium.
  • Markets have been unable to push '24 pricing below 75bp of cuts on several occasions (75bp of cuts is in line with the median '24 dot in the Fed's Dec '23 SEP).
  • ~88bp of cuts last showing in Dec '24 FOMC-dated OIS.
01-Mar-2429-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,225,7391,228,305-2,566Whites-43,172
SFRH41,081,9731,112,140-30,167Reds-44,123
SFRM41,084,6691,106,071-21,402Greens-21,601
SFRU4868,998858,035+10,963Blues+3,652
SFRZ41,108,6681,130,750-22,082
SFRH5667,696681,250-13,554
SFRM5708,547717,441-8,894
SFRU5657,409657,002+407
SFRZ5701,272725,618-24,346
SFRH6491,508487,449+4,059
SFRM6486,763485,231+1,532
SFRU6337,732340,578-2,846
SFRZ6305,786299,136+6,650
SFRH7190,376190,644-268
SFRM7176,244178,066-1,822
SFRU7149,013149,921-908
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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