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OI Points To Long Setting Dominating On SOFR Strip Post-PPI

STIR

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-2411-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,199,9861,204,484-4,498Whites+88,230
SFRH41,199,5071,183,409+16,098Reds+88,038
SFRM41,186,3221,140,183+46,139Greens+3,484
SFRU41,004,814974,323+30,491Blues+11,924
SFRZ41,048,3441,005,262+43,082
SFRH5541,646536,549+5,097
SFRM5637,769603,501+34,268
SFRU5569,706564,115+5,591
SFRZ5547,997563,936-15,939
SFRH6407,888408,187-299
SFRM6413,953391,772+22,181
SFRU6302,249304,708-2,459
SFRZ6262,730270,102-7,372
SFRH7142,835136,806+6,029
SFRM7147,659138,827+8,832
SFRU7153,948149,513+4,435
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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