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OI Indicated Mix Of Positioning Swings Across SOFR Strip On Thursday

STIR

The combination of Thursday's twist steepening of the SOFR strip and preliminary OI data points to the following positioning swings:

  • Whites: It seems that short cover was seen in SFRH4, M4 & U4. It is hard to be sure when it comes to SFRZ3 positioning given the unchanged price status come settlement. Also note that the net OI change in that contract was very modest, meaning that the apparent short cover seen elsewhere was the dominant factor in net pack terms.
  • Reds: An apparent mix of short cover (SFRZ4) & long cover (SFRM5 & U5). It is hard to be definitive when it comes to SFRH5 positioning given the unchanged price status come settlement.
  • Greens: All contracts seemingly saw shorts set on net.
  • Blues: Apparent short setting in SFRH7 managed to more than offset what looked like long cover elsewhere in the pack when it came to the net pack positioning swing.
18-Jan-2417-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,195,1431,194,159+984Whites-41,097
SFRH41,162,9171,177,559-14,642Reds-11,320
SFRM41,091,4281,117,577-26,149Greens+21,125
SFRU4975,784977,074-1,290Blues+1,814
SFRZ41,032,1451,035,301-3,156
SFRH5547,801543,858+3,943
SFRM5640,586642,873-2,287
SFRU5567,554577,374-9,820
SFRZ5597,554582,207+15,347
SFRH6421,350420,553+797
SFRM6421,833419,418+2,415
SFRU6299,818297,252+2,566
SFRZ6257,680258,325-645
SFRH7138,451134,133+4,318
SFRM7145,455145,762-307
SFRU7152,172153,724-1,552
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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