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OI Suggests Long Setting Dominated On SOFR Strip On Tuesday

STIR

The combination of yesterday's rally in most SOFR futures and preliminary OI data suggests that net long setting was the dominant factor in all packs through the blues.

  • Closer inspection points to some pockets of net short cover, most notably in the whites.
  • End of '24 FOMC-dated OIS moved back towards the current median Fed dot (75bp of cuts).
  • The dot plot & SEP will be updated aongside today's FOMC decision.
19-Mar-2418-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,221,1231,222,713-1,590Whites+7,568
SFRH41,050,8541,055,682-4,828Reds+13,988
SFRM41,100,8721,123,718-22,846Greens+6,687
SFRU4939,219902,387+36,832Blues+20,757
SFRZ41,127,2091,122,897+4,312
SFRH5704,552708,475-3,923
SFRM5748,976749,540-564
SFRU5666,823652,660+14,163
SFRZ5653,960661,979-8,019
SFRH6462,156456,327+5,829
SFRM6495,789496,593-804
SFRU6373,772364,091+9,681
SFRZ6344,293338,642+5,651
SFRH7218,882208,048+10,834
SFRM7192,278188,569+3,709
SFRU7154,880154,317+563
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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