September 20, 2024 10:52 GMT
STIR: Long Setting Dominated In SOFR Whites On Thursday, Mixed Moves Further Out
STIR
OI suggests that net long setting dominated in SFRZ4 & H5 on Thursday, as markets reacted to the Fed’s 50bp cut.
- A mix of short setting and long cover was seen in SFRM5 through M8 after Chair Powell attempted to play down any speculation that the 50bp move set a precedent for the size of any subsequent easing, while suggesting that the neutral rate is likely significantly higher than in recent cycles.
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19-Sep-24
18-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,414,462
1,434,929
-20,467
Whites
+104,920
SFRZ4
1,381,487
1,278,024
+103,463
Reds
-4,770
SFRH5
1,119,673
1,092,283
+27,390
Greens
+22,273
SFRM5
899,766
905,232
-5,466
Blues
-14,963
SFRU5
679,005
690,100
-11,095
SFRZ5
982,131
977,743
+4,388
SFRH6
720,146
719,841
+305
SFRM6
630,908
629,276
+1,632
SFRU6
542,669
538,805
+3,864
SFRZ6
600,493
589,586
+10,907
SFRH7
345,051
336,955
+8,096
SFRM7
294,523
295,117
-594
SFRU7
249,562
263,562
-14,000
SFRZ7
233,794
232,390
+1,404
SFRH8
175,166
173,022
+2,144
SFRM8
151,193
155,704
-4,511
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