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OI Points To Mix Of SOFR Net Long Setting & Short Cover On Wednesday

STIR

The combination of yesterday's rally in most SOFR futures and preliminary OI data points to the following position swings:

  • Whites: Short cover seemed to dominate, although it is hard to be sure when it comes to SFRH4 & M4 positioning given their unchanged price status come settlement.
  • Reds: Rounds of long setting and short cover seemed to offset.
  • Greens & Blues: Net long setting seemed to dominate, with pockets of short cover seen.
  • Comments from Fed Governor Waller leave SOFR futures and Tsys a little below levels seen late yesterday at typing.
27-Mar-2426-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRH4994,467994,378+89Whites-15,656
SFRM41,194,9691,177,969+17,000Reds+6
SFRU41,009,9691,018,618-8,649Greens+8,251
SFRZ41,105,2151,129,311-24,096Blues+5,314
SFRH5709,500714,557-5,057
SFRM5786,022793,408-7,386
SFRU5660,487653,414+7,073
SFRZ5671,029665,653+5,376
SFRH6481,588474,986+6,602
SFRM6502,020497,201+4,819
SFRU6377,532378,041-509
SFRZ6339,091341,752-2,661
SFRH7233,806234,034-228
SFRM7196,064194,222+1,842
SFRU7158,016157,452+564
SFRZ7200,084196,948+3,136
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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