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Free AccessOI Points To Long Setting Dominating On SOFR Strip Post-PPI
The combination of Friday's richening across the SOFR strip and preliminary OI data points to a mix of long setting and short cover, with the former dominating all packs through the blues.
- The net OI swings in the whites and the reds were sizeable, with only SFRZ3 seemingly seeing net short cover across that area of the strip.
- The greens seemed to see a modest round of long setting in net pack terms, with only SFRM6 seeing net long setting and short cover seemingly seen elsewhere.
- The blues seemed to see longs added on net, with only SFRZ6 experiencing short cover.
- A quick reminder that softer-than-expected U.S. PPI data (driven by perceptions surrounding feedthrough into the upcoming PCE print) & subsequent dovish Fed repricing provided the major impulse for SOFR trade on Friday.
12-Jan-24 | 11-Jan-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRZ3 | 1,199,986 | 1,204,484 | -4,498 | Whites | +88,230 |
SFRH4 | 1,199,507 | 1,183,409 | +16,098 | Reds | +88,038 |
SFRM4 | 1,186,322 | 1,140,183 | +46,139 | Greens | +3,484 |
SFRU4 | 1,004,814 | 974,323 | +30,491 | Blues | +11,924 |
SFRZ4 | 1,048,344 | 1,005,262 | +43,082 | ||
SFRH5 | 541,646 | 536,549 | +5,097 | ||
SFRM5 | 637,769 | 603,501 | +34,268 | ||
SFRU5 | 569,706 | 564,115 | +5,591 | ||
SFRZ5 | 547,997 | 563,936 | -15,939 | ||
SFRH6 | 407,888 | 408,187 | -299 | ||
SFRM6 | 413,953 | 391,772 | +22,181 | ||
SFRU6 | 302,249 | 304,708 | -2,459 | ||
SFRZ6 | 262,730 | 270,102 | -7,372 | ||
SFRH7 | 142,835 | 136,806 | +6,029 | ||
SFRM7 | 147,659 | 138,827 | +8,832 | ||
SFRU7 | 153,948 | 149,513 | +4,435 |
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.