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OI Points To Mix Of Long Setting & Short Cover Through SOFR Greens On Thursday

STIR

The combination of preliminary OI data and yesterday's twist steepening on the SOFR strip points to a general mix of net long setting and short cover through the greens (long setting for whites and reds, short cover in the greens), while the blues saw limited net OI change on a pack basis.

  • Note that net OI swings were relatively limited on the day.
21-Dec-2320-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRZ31,317,3961,325,933-8,537Whites+11,118
SFRH41,123,6171,110,762+12,855Reds+6,549
SFRM41,088,8381,079,589+9,249Greens-10,497
SFRU4935,832938,281-2,449Blues+146
SFRZ4914,559907,133+7,426
SFRH5566,668571,411-4,743
SFRM5609,629602,642+6,987
SFRU5578,710581,831-3,121
SFRZ5549,951555,403-5,452
SFRH6417,118416,697+421
SFRM6372,964376,255-3,291
SFRU6305,388307,563-2,175
SFRZ6245,190246,673-1,483
SFRH7153,508148,852+4,656
SFRM7140,855141,575-720
SFRU7154,214156,521-2,307
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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