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Data-Driven Short Setting Seemed to Dominate SOFR On Thursday

STIR

Yesterday’s twist steepening of the SOFR strip, coupled with preliminary OI data, points to the following positioning swings on Thursday:

  • An apparent mix of short cover, fresh long setting and fresh short setting in the whites, with the sole round of short setting (SFRH4) in the pack outweighing the other swings.
  • The reds through blues also seemed to see net short setting dominate, with only 3 rounds of apparent long cover observed across those packs.
  • The most notable round of apparent fresh net short setting on a pack basis seemed to be found in the reds.
14-Sep-2313-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,107,4261,107,720-294Whites+9,885
SFRU31,180,0441,178,964+1,080Reds+21,673
SFRZ31,302,7091,304,848-2,139Greens+11,920
SFRH41,002,639991,401+11,238Blues+2,602
SFRM4922,001923,373-1,372
SFRU4837,701833,460+4,241
SFRZ4898,999887,692+11,307
SFRH5526,715519,218+7,497
SFRM5595,254584,670+10,584
SFRU5482,476489,186-6,710
SFRZ5434,894429,895+4,999
SFRH6296,803293,756+3,047
SFRM6248,722249,881-1,159
SFRU6172,821171,004+1,817
SFRZ6171,132169,461+1,671
SFRH7125,717125,444+273
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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