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OI Suggests Long Setting Dominated In SOFR Futures On Thursday

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The combination of yesterday's uptick in SOFR futures and preliminary OI data points to net long setting as the dominant positioning factor through the blues. Some pockets of short cover were also seen.

  • The previously flagged geopolitical angst surrounding the Middle East and the weekly initial jobless claims data promoted a light rally in SOFR futures.
  • Market pricing moved back towards ~75bp of '24 Fed cuts vs. extremes of ~65bp earlier in the week.
  • A reminder that the median Fed dot in the SEP looks for 75bp of cuts in '24 (although it is a 'soft' median).
04-Apr-2403-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4967,410966,882+528Whites+5,327
SFRM41,176,8401,178,340-1,500Reds+19,820
SFRU4997,647991,777+5,870Greens+10,336
SFRZ41,151,1131,150,684+429Blues+15,083
SFRH5727,019722,312+4,707
SFRM5782,252767,440+14,812
SFRU5676,626678,422-1,796
SFRZ5663,548661,451+2,097
SFRH6494,422498,241-3,819
SFRM6517,673515,599+2,074
SFRU6369,417372,261-2,844
SFRZ6360,190345,265+14,925
SFRH7234,627232,288+2,339
SFRM7197,939193,148+4,791
SFRU7159,952158,815+1,137
SFRZ7207,097200,281+6,816
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The combination of yesterday's uptick in SOFR futures and preliminary OI data points to net long setting as the dominant positioning factor through the blues. Some pockets of short cover were also seen.

  • The previously flagged geopolitical angst surrounding the Middle East and the weekly initial jobless claims data promoted a light rally in SOFR futures.
  • Market pricing moved back towards ~75bp of '24 Fed cuts vs. extremes of ~65bp earlier in the week.
  • A reminder that the median Fed dot in the SEP looks for 75bp of cuts in '24 (although it is a 'soft' median).
04-Apr-2403-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4967,410966,882+528Whites+5,327
SFRM41,176,8401,178,340-1,500Reds+19,820
SFRU4997,647991,777+5,870Greens+10,336
SFRZ41,151,1131,150,684+429Blues+15,083
SFRH5727,019722,312+4,707
SFRM5782,252767,440+14,812
SFRU5676,626678,422-1,796
SFRZ5663,548661,451+2,097
SFRH6494,422498,241-3,819
SFRM6517,673515,599+2,074
SFRU6369,417372,261-2,844
SFRZ6360,190345,265+14,925
SFRH7234,627232,288+2,339
SFRM7197,939193,148+4,791
SFRU7159,952158,815+1,137
SFRZ7207,097200,281+6,816