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Mixed SOFR Positioning Swings On Tuesday

STIR

The combination of yesterday’s twist steepening of the SOFR strip and preliminary open interest data points to mixed positioning swings on Tuesday.

  • Whites: short cover was the dominant theme.
  • Reds: a mix of fresh longs and short cover, with fresh longs dominating on net.
  • Greens: saw an uptick in OI in net terms, although unchanged prices make it difficult to make assumptions re: positioning swings.
  • Blues: Modest net short setting , driven by SFRU6, with long cover seen elsewhere.
26-Sep-2325-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRU31,036,9331,044,965-8,032Whites-27,353
SFRZ31,317,6041,327,738-10,134Reds+4,462
SFRH4986,1121,001,983-15,871Greens+4,002
SFRM4911,442904,758+6,684Blues+1,060
SFRU4799,485790,382+9,103
SFRZ4918,720915,261+3,459
SFRH5541,159543,714-2,555
SFRM5569,002574,547-5,545
SFRU5502,153500,276+1,877
SFRZ5499,060500,204-1,144
SFRH6318,637321,268-2,631
SFRM6257,601251,701+5,900
SFRU6202,834200,121+2,713
SFRZ6180,109181,049-940
SFRH7131,258131,501-243
SFRM7134,312134,782-470
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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