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OI Indicates Post-Fed Short Cover & Long setting On SOFR Strip On Thursday

STIR

The combination of the richening on the SOFR strip and Thursday's preliminary OI data points to short cover as the dominant positioning swing on the SOFR strip on Thursday, as the post-FOMC adjustments continued.

  • The whites, reds and blues seemed to see net short cover on a pack basis, while the greens appeared to break the trend, via a modest round of apparent net long setting.
  • Note that long setting appeared to be seen in both the SFRU3 and SFRZ3 contracts although it is hard to be certain on the former given its unchanged price status on the day.
14-Dec-2313-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,114,3731,091,169+23,204Whites-30,931
SFRZ31,605,7411,582,793+22,948Reds-39,739
SFRH41,096,2161,129,977-33,761Greens+9,544
SFRM41,022,9371,066,259-43,322Blues-13,499
SFRU4950,869980,221-29,352
SFRZ4967,701973,446-5,745
SFRH5573,630580,148-6,518
SFRM5605,301603,425+1,876
SFRU5596,391603,517-7,126
SFRZ5580,288562,377+17,911
SFRH6408,805411,580-2,775
SFRM6377,779376,245+1,534
SFRU6312,356316,512-4,156
SFRZ6243,050243,015+35
SFRH7143,942150,463-6,521
SFRM7137,133139,990-2,857
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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