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Addition Of SOFR White Pack Longs Post-CPI Most Notable Move In OI

STIR

Yesterday’s post-CPI bid generally drove the addition of fresh longs on the SOFR strip, per preliminary open interest data. Long additions in the white pack provided the most pronounced OI swing in net pack terms, with less notable additions seen across the reds, greens and blues (in descending order when it comes to OI change).

12-Jul-2311-Jul-23Daily OI ChangeDaily OI Change In Packs
SFRU31,124,7581,111,490+13,268Whites+64,229
SFRZ31,273,9301,231,446+42,484Reds+9,982
SFRH4757,911748,829+9,082Greens+7,594
SFRM4724,936725,541-605Blues+4,330
SFRU4737,460750,582-13,122
SFRZ4742,057734,978+7,079
SFRH5555,491537,507+17,984
SFRM5480,007481,966-1,959
SFRU5422,791418,620+4,171
SFRZ5329,613326,262+3,351
SFRH6231,385231,877-492
SFRM6172,669172,105+564
SFRU6143,907141,151+2,756
SFRZ6165,320164,625+695
SFRH7111,546111,033+513
SFRM7112,045111,679+366
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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