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Mixed SOFR Positioning Swings On Monday

STIR

Preliminary open interest data and yesterday’s twist steepening of the curve points to the following SOFR positioning swings on Monday:

  • Whites: short cover in SFRU3, questions over positioning moves in SFRZ3, SFRH4 & SFRM4 given unchanged prices.
  • Reds: net short setting for the pack, although there was seemingly a mix of long cover and short additions across contracts.
  • Greens: apparent short setting and long cover virtually offset.
  • Blues: marginal net short setting in the pack.
25-Sep-2322-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRU31,044,9651,066,982-22,017Whites-3,061
SFRZ31,319,2191,311,713+7,506Reds+10,007
SFRH4999,027991,302+7,725Greens-245
SFRM4899,511895,786+3,725Blues+2,160
SFRU4790,356780,649+9,707
SFRZ4915,261922,245-6,984
SFRH5544,039535,940+8,099
SFRM5574,552575,367-815
SFRU5500,276501,109-833
SFRZ5500,204505,880-5,676
SFRH6321,268318,043+3,225
SFRM6251,701248,662+3,039
SFRU6200,121196,737+3,384
SFRZ6181,049183,188-2,139
SFRM7131,518131,020+498
SFRU7134,782134,365+417
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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