STIR: Longs Cut In Front End Of SOFR Strip Post-CPI, Shorts Set Further Out
Preliminary OI data points to long cover dominating in the very front end of the SOFR strip as yesterday’s CPI data prompted an unwind of positions looking for a 50bp Fed cut later this month, while short setting dominated further out.
- A reminder that several banks removed their calls for 50bp cuts at the upcoming FOMC decision in the wake of the data.
- Fedspeak and our DC policy team’s work had already pointed to a more gradualist approach to easing.
- We flagged the risk to existing long positioning ahead of the data.
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11-Sep-24
10-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRM4
1,131,309
1,131,474
-165
Whites
-32,618
SFRU4
1,297,502
1,344,119
-46,617
Reds
+66,436
SFRZ4
1,238,748
1,249,721
-10,973
Greens
+20,050
SFRH5
1,011,362
986,225
+25,137
Blues
+8,270
SFRM5
901,907
881,313
+20,594
SFRU5
760,832
744,643
+16,189
SFRZ5
952,674
921,105
+31,569
SFRH6
625,239
627,155
-1,916
SFRM6
606,513
606,869
-356
SFRU6
542,966
540,034
+2,932
SFRZ6
540,856
531,871
+8,985
SFRH7
331,101
322,612
+8,489
SFRM7
304,844
300,241
+4,603
SFRU7
231,359
225,524
+5,835
SFRZ7
220,249
222,774
-2,525
SFRH8
169,425
169,068
+357