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-24	24-Jun-24	Daily OI Change		Daily OI Change In Packs
SFRM4	1,242,028	1,237,232	+4,796	Whites	-405
SFRU4	1,148,252	1,150,715	-2,463	Reds	-8,618
SFRZ4	991,064	991,495	-431	Greens	-5,259
SFRH5	809,652	811,959	-2,307	Blues	+7,444
SFRM5	692,763	701,658	-8,895
SFRU5	621,084	624,493	-3,409
SFRZ5	810,760	810,695	+65
SFRH6	563,753	560,132	+3,621
SFRM6	479,720	478,997	+723
SFRU6	420,447	417,264	+3,183
SFRZ6	354,098	358,411	-4,313
SFRH7	240,501	245,353	-4,852
SFRM7	221,449	217,068	+4,381
SFRU7	182,205	179,981	+2,224
SFRZ7	171,129	168,476	+2,653
SFRH8	114,335	116,149	-1,814

156 words

To read the full story

Free Trial

Sign up now for free trial access to this content.

Please enter your details below.

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.

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-24	24-Jun-24	Daily OI Change		Daily OI Change In Packs
SFRM4	1,242,028	1,237,232	+4,796	Whites	-405
SFRU4	1,148,252	1,150,715	-2,463	Reds	-8,618
SFRZ4	991,064	991,495	-431	Greens	-5,259
SFRH5	809,652	811,959	-2,307	Blues	+7,444
SFRM5	692,763	701,658	-8,895
SFRU5	621,084	624,493	-3,409
SFRZ5	810,760	810,695	+65
SFRH6	563,753	560,132	+3,621
SFRM6	479,720	478,997	+723
SFRU6	420,447	417,264	+3,183
SFRZ6	354,098	358,411	-4,313
SFRH7	240,501	245,353	-4,852
SFRM7	221,449	217,068	+4,381
SFRU7	182,205	179,981	+2,224
SFRZ7	171,129	168,476	+2,653
SFRH8	114,335	116,149	-1,814

BRIEF: EC Approves Italy's 5th NGEU Payment Request For EUR11 billion

MNI BRIEF: ECB's Eye On French Markets, Price Stability Key

MNI BRIEF: Lower Inflation Path Remains Bumpy - Lagarde

MNI BRIEF: 'Noise' Driving Economic Deterioration- Campos Neto

MNI China Daily Summary: Tuesday, July 2

MNI BRIEF: China Aims For AI Standards By 2026

MNI: US BLS: JOLTS QUITS RATE 2.2% IN MAY

MNI: US BLS: JOLTS OPENINGS RATE 8.140M IN MAY

MNI: US REDBOOK: JUN STORE SALES +5.6% V YR AGO MO

NORTH KOREA: S. Korea Holds Military Drill Near Border, North Test-Fires Missile

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

MNI BRIEF: Poilievre Calls QE 'Scam' And Would Limit BOC Remit

Real-time Actionable Insight

MNI INTERVIEW: Dec Fed Cut Doubtful If Trump Wins -Obstfeld

BRIEF: EC Approves Italy's 5th NGEU Payment Request For EUR11 billion

MNI BRIEF: ECB's Eye On French Markets, Price Stability Key

MNI BRIEF: 'Noise' Driving Economic Deterioration- Campos Neto

MNI BRIEF: Lower Inflation Path Remains Bumpy - Lagarde

Pocket Of Long Cover Seen In SOFR Futures On Tuesday

Why MNI

MNI

PRODUCTS

EVENTS

TOPICS