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Free AccessOI Suggests Short Setting Dominated in SOFR Futures On Thursday
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-24 | 21-Feb-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRZ3 | 1,127,301 | 1,127,556 | -255 | Whites | +7,453 |
SFRH4 | 1,119,106 | 1,120,139 | -1,033 | Reds | +37,371 |
SFRM4 | 1,085,715 | 1,084,236 | +1,479 | Greens | +30,528 |
SFRU4 | 850,888 | 843,626 | +7,262 | Blues | +4,004 |
SFRZ4 | 1,118,990 | 1,123,455 | -4,465 | ||
SFRH5 | 674,951 | 657,338 | +17,613 | ||
SFRM5 | 708,160 | 688,448 | +19,712 | ||
SFRU5 | 650,508 | 645,997 | +4,511 | ||
SFRZ5 | 757,621 | 742,853 | +14,768 | ||
SFRH6 | 513,709 | 513,281 | +428 | ||
SFRM6 | 505,441 | 496,366 | +9,075 | ||
SFRU6 | 313,893 | 307,636 | +6,257 | ||
SFRZ6 | 305,856 | 306,837 | -981 | ||
SFRH7 | 173,642 | 169,587 | +4,055 | ||
SFRM7 | 163,385 | 159,882 | +3,503 | ||
SFRU7 | 153,837 | 156,410 | -2,573 |
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.