September 19, 2024 10:07 GMT
STIR: OI Points To Mix Of Positioning Swings As SOFR Twist Steepened Post-Fed
STIR
OI points to long setting in the very front end of the SOFR strip (SFRU4 & Z4) on Wednesday, while a mix of short setting and long cover was seen further out.
- Markets had to adjust to the delivery of the Fed’s 50bp cut in the very front end, which wasn’t fully discounted.
- Further out the strip was impacted by Chair Powell’s steer towards a higher neutral rate than in recent times.
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18-Sep-24
17-Sep-24
Daily OI Change
Daily OI Change In Packs
SFRU4
1,435,436
1,409,758
+25,678
Whites
+45,593
SFRZ4
1,308,486
1,284,931
+23,555
Reds
+27,938
SFRH5
1,093,950
1,098,391
-4,441
Greens
+14,672
SFRM5
905,405
904,604
+801
Blues
+12,855
SFRU5
690,131
687,455
+2,676
SFRZ5
978,069
959,426
+18,643
SFRH6
719,988
726,042
-6,054
SFRM6
629,306
616,633
+12,673
SFRU6
538,810
540,688
-1,878
SFRZ6
590,404
574,795
+15,609
SFRH7
336,974
338,542
-1,568
SFRM7
295,121
292,612
+2,509
SFRU7
263,562
253,024
+10,538
SFRZ7
232,390
229,971
+2,419
SFRH8
173,022
171,964
+1,058
SFRM8
155,704
156,864
-1,160
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