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OI Suggests Short Setting Dominated in SOFR Futures On Thursday

STIR

The combination of yesterday's downtick in most SOFR contracts through the blues and preliminary OI data points to net short setting as Thursday's dominant positioning factor in that area of the strip.

  • Some light pockets of net long cover were also seen.
  • Fedspeak (continued pushback against the need for imminent rate cuts), weekly jobless claims data and the rally in equities all filtered into the weakness on the strip.
  • Participants remain unwilling to test 75bp when it comes to the pricing of total '24 cuts.
  • FOMC-dated OIS currently shows ~79bp of cuts over that horizon.
  • A reminder that the median dot in the Fed’s Dec SEP showed 3 cuts in ’24.
22-Feb-2421-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,127,3011,127,556-255Whites+7,453
SFRH41,119,1061,120,139-1,033Reds+37,371
SFRM41,085,7151,084,236+1,479Greens+30,528
SFRU4850,888843,626+7,262Blues+4,004
SFRZ41,118,9901,123,455-4,465
SFRH5674,951657,338+17,613
SFRM5708,160688,448+19,712
SFRU5650,508645,997+4,511
SFRZ5757,621742,853+14,768
SFRH6513,709513,281+428
SFRM6505,441496,366+9,075
SFRU6313,893307,636+6,257
SFRZ6305,856306,837-981
SFRH7173,642169,587+4,055
SFRM7163,385159,882+3,503
SFRU7153,837156,410-2,573
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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