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OI Suggests Short Setting Dominated In SOFR Futures On Tuesday

STIR

The combination of yesterday’s weakness in SOFR futures and preliminary open interest data points to net short setting across much of the SOFR futures strip, with only limited pockets of net long cover seen through the blues.

  • This came as the Q1 ECI data triggered the latest round of hawkish Fed repricing, leaving ~28bp of ’24 cuts priced into FOMC-dated OIS ahead of today’s decision,. That represents the shallowest path of cuts priced into ’24 during the current cycle
  • Looking ahead to today’s FOMC decision and press conference, Chair Powell is expected to tilt more cautious on the inflation outlook than in previous appearances, with potential flashpoints for markets including whether he acknowledges that 3 cuts are less likely to be the base case for the FOMC in 2024, and/or whether June is too early for the first cut.
30-Apr-2429-Apr-24Daily OI ChangeDaily OI Change In Packs
SFRH4923,159923,634-475Whites+42,255
SFRM41,125,5111,128,509-2,998Reds+25,986
SFRU41,024,8371,007,246+17,591Greens+5,450
SFRZ41,243,5541,215,417+28,137Blues+4,484
SFRH5754,222744,876+9,346
SFRM5849,132823,018+26,114
SFRU5717,244719,707-2,463
SFRZ5807,411814,422-7,011
SFRH6485,220484,408+812
SFRM6515,213515,947-734
SFRU6393,213391,316+1,897
SFRZ6348,472344,997+3,475
SFRH7236,857234,463+2,394
SFRM7183,886183,159+727
SFRU7165,453165,159+294
SFRZ7141,185140,116+1,069
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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