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Free AccessMixed SOFR Positioning Swings Around CPI
The combination of yesterday’s twist flattening of the SOFR strip and preliminary OI data point to the following positioning swings in the wake of the CPI data-/30-Year Tsy supply-induced swings.
- Whites: A mix of apparent short setting and long cover, with relatively notable net positioning swings in 3 of the 4 contracts in the final full pre-Fed decision trading session. Short setting in SFRZ3 and SFRM4 stood out in net terms, while the apparent round of long cover in SFRU3, presumably on the firmer supercore CPI reading, came after a relatively consistent run of fresh long setting on the back of SOFR fixing quirks and dovish Fed repricing.
- Reds: An apparent mix of short setting (SFRU4 & H5), long cover (SFRZ4) and little net change (SFRM5).
- Greens: A mix of apparent short cover (SFRU5 & M6) and long setting (SFRZ5 & H6).
- Blues: Apparent light net long setting in the main, with some apparent short cover in SFRM7 bucking the broader trend.
12-Dec-23 | 11-Dec-23 | Daily OI Change | Daily OI Change In Packs | ||
SFRU3 | 1,119,449 | 1,183,161 | -63,712 | Whites | +61,535 |
SFRZ3 | 1,574,654 | 1,509,584 | +65,070 | Reds | -1,114 |
SFRH4 | 1,105,805 | 1,109,003 | -3,198 | Greens | +4,636 |
SFRM4 | 1,051,651 | 988,276 | +63,375 | Blues | +1,996 |
SFRU4 | 910,068 | 896,249 | +13,819 | ||
SFRZ4 | 958,214 | 974,539 | -16,325 | ||
SFRH5 | 556,543 | 554,637 | +1,906 | ||
SFRM5 | 610,769 | 611,283 | -514 | ||
SFRU5 | 598,574 | 603,017 | -4,443 | ||
SFRZ5 | 576,972 | 569,286 | +7,686 | ||
SFRH6 | 415,497 | 413,637 | +1,860 | ||
SFRM6 | 369,526 | 369,993 | -467 | ||
SFRU6 | 319,980 | 319,620 | +360 | ||
SFRZ6 | 245,843 | 243,578 | +2,265 | ||
SFRH7 | 148,348 | 147,436 | +912 | ||
SFRM7 | 140,251 | 141,792 | -1,541 |
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Why MNI
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