Free Trial

Pocket Of Long Cover Seen In SOFR Futures On Tuesday

STIR

OI data points to fairly limited net positioning movement on the SOFR strip on Tuesday, with the only meaningful movement being some long cover in SFRH5 through U5.

  • Hawkish feedthrough from Canadian CPI data faded as the long end recovered, while FOMC Governor Bowman cemented her status at the hawkish end of the FOMC spectrum.
  • End of ’24 FOMC-dated OIS moved from pricing 46.5bp of cuts late on Monday to 44.5bp of cuts late on Tuesday.
25-Jun-2424-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRM41,242,0281,237,232+4,796Whites-405
SFRU41,148,2521,150,715-2,463Reds-8,618
SFRZ4991,064991,495-431Greens-5,259
SFRH5809,652811,959-2,307Blues+7,444
SFRM5692,763701,658-8,895
SFRU5621,084624,493-3,409
SFRZ5810,760810,695+65
SFRH6563,753560,132+3,621
SFRM6479,720478,997+723
SFRU6420,447417,264+3,183
SFRZ6354,098358,411-4,313
SFRH7240,501245,353-4,852
SFRM7221,449217,068+4,381
SFRU7182,205179,981+2,224
SFRZ7171,129168,476+2,653
SFRH8114,335116,149-1,814
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

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.