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OI Suggests Short Setting Dominated During Yesterday's SOFR Sell Off

STIR

OI data suggests that net short setting dominated in all packs through the blues during yesterday’s data-driven hawkish repricing, with some pockets of net long cover also noted.

  • Fed Funds futures now price ~34bp of cuts for the September FOMC and ~95bp of cuts through year end, with the pullback from last week’s dovish extremes (~70bp for Sep and ~148bp for Dec) extending further.
15-Aug-2414-Aug-24Daily OI ChangeDaily OI Change In Packs
SFRM41,134,2921,131,783+2,509Whites+20,613
SFRU41,115,7651,096,313+19,452Reds+30,574
SFRZ41,126,4051,110,766+15,639Greens+6,946
SFRH5910,605927,592-16,987Blues+7,028
SFRM5808,169809,909-1,740
SFRU5688,007685,688+2,319
SFRZ5913,695878,823+34,872
SFRH6669,833674,710-4,877
SFRM6650,502629,966+20,536
SFRU6576,538571,823+4,715
SFRZ6477,310492,371-15,061
SFRH7262,121265,365-3,244
SFRM7255,645252,387+3,258
SFRU7215,863210,746+5,117
SFRZ7235,947241,433-5,486
SFRH8170,225166,086+4,139
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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