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OI Points to Mix Of Long Setting & short cover For SOFR On Tuesday

STIR

The combination of yesterday’s richening on the SOFR strip and preliminary open interest data point to the following positioning swings on Tuesday:

  • Whites: Long setting apparent on a net pack basis, with only SFRH4 seeing apparent short cover.
  • Reds: Short cover appeared to dominate, although that was largely a product of a sizable OI swing in SFRU4, with little net change through the rest of the pack as apparent rounds of short cover and long setting virtually offset.
  • Greens & Blues: Small rounds of apparent net short cover were seen on a pack basis, although some apparent pockets of long setting were also noted.
  • A reminder that a firmer-than-expected ISM services survey (save the employment sub-index) and softer-than-expected JOLTS job openings print factored into price action on the day, as did dovish communique from the ECB. The two latter inputs outweighed the former in net terms.
  • Still, pricing re: cumulative Fed cuts through ’24 failed to revisit Friday’s dovish extreme.
05-Dec-2304-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,109,3621,085,809+23,553Whites+61,750
SFRZ31,511,1471,466,584+44,563Reds-95,239
SFRH41,076,6161,084,354-7,738Greens-3,498
SFRM41,003,1291,001,757+1,372Blues-6,530
SFRU4884,026977,848-93,822
SFRZ4926,340924,492+1,848
SFRH5544,175539,599+4,576
SFRM5593,460601,301-7,841
SFRU5617,972626,916-8,944
SFRZ5560,445564,011-3,566
SFRH6414,864410,905+3,959
SFRM6358,858353,805+5,053
SFRU6319,950323,893-3,943
SFRZ6252,506258,340-5,834
SFRH7151,092150,962+130
SFRM7140,469137,352+3,117
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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