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Long Cover Seemed To Dominate On SOFR Strip On Friday

STIR

The combination of Friday’s twist flattening on the SOFR strip and preliminary open interest data point to the following positioning swings ahead of the weekend.

  • Whites: Long cover seemed to dominate, aided by the well-documented comments from NY Fed President Williams, although pockets of fresh short setting were also seen (SFRU3 & H4).
  • Reds: Long cover also seemed to dominate there, with net short setting seemingly only seen in SFRM5.
  • Greens: The bias was once again towards apparent long cover, although one round of apparent short setting (SFRM6) tilted the net pack OI swing away from extremes.
  • Blues: A mix of long setting and short cover was seemingly seen. It is hard to be definitive when it comes to SFRU6 positioning moves given the unchanged price status on the day.
15-Dec-2314-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,114,5401,102,594+11,946Whites-59,204
SFRZ31,538,3461,594,351-56,005Reds-68,132
SFRH41,099,5941,092,754+6,840Greens-7,985
SFRM41,001,4991,023,484-21,985Blues-2,157
SFRU4934,741950,141-15,400
SFRZ4905,443956,322-50,879
SFRH5566,132573,295-7,163
SFRM5610,615605,305+5,310
SFRU5592,983596,391-3,408
SFRZ5567,084578,817-11,733
SFRH6408,557408,805-248
SFRM6385,183377,779+7,404
SFRU6310,644312,356-1,712
SFRZ6236,782241,129-4,347
SFRH7145,025143,942+1,083
SFRM7139,952137,133+2,819
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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