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Mixed SOFR Positioning Swings Around CPI

STIR

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-2311-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,119,4491,183,161-63,712Whites+61,535
SFRZ31,574,6541,509,584+65,070Reds-1,114
SFRH41,105,8051,109,003-3,198Greens+4,636
SFRM41,051,651988,276+63,375Blues+1,996
SFRU4910,068896,249+13,819
SFRZ4958,214974,539-16,325
SFRH5556,543554,637+1,906
SFRM5610,769611,283-514
SFRU5598,574603,017-4,443
SFRZ5576,972569,286+7,686
SFRH6415,497413,637+1,860
SFRM6369,526369,993-467
SFRU6319,980319,620+360
SFRZ6245,843243,578+2,265
SFRH7148,348147,436+912
SFRM7140,251141,792-1,541
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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