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OI Points To Long Setting As Dominant SOFR Positioning Move On Monday

STIR

The combination of yesterday’s preliminary open interest data and general richening across the SOFR strip points to long setting as the dominant positioning factor in SOFR futures, as a mix of the global core FI richening, softer-then-expected domestic data and better-than-expected net demand at the double Tsy auctions filtered in.

  • The reds saw the largest round of apparent net long OI setting on a pack basis, followed by the blues.
  • Pockets of short cover were also seen, most notably in the whites. We flag that it is difficult to be 100% sure of net positioning moves in the whites given the unchanged price status of SFRU3 on the day.
27-Nov-2324-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3976,742960,602+16,140Whites+3,690
SFRZ31,391,4671,390,276+1,191Reds+24,725
SFRH41,127,2471,128,448-1,201Greens+7,069
SFRM4988,3511,000,791-12,440Blues+13,646
SFRU4934,630926,065+8,565
SFRZ4891,070891,645-575
SFRH5535,994528,827+7,167
SFRM5617,451607,883+9,568
SFRU5662,103659,266+2,837
SFRZ5539,255549,033-9,778
SFRH6397,110392,127+4,983
SFRM6325,714316,687+9,027
SFRU6309,962316,646-6,684
SFRZ6246,876234,769+12,107
SFRH7134,571130,243+4,328
SFRM7135,238131,343+3,895
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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