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OI Points To Mix Of Short Setting & Long Cover In SOFR Futures On Monday

STIR

The combination of yesterday's move lower in SOFR futures and preliminary OI data points to a mix of short setting and long cover, with the most notable OI movement coming via apparent net long cover in SFRM4 and apparent net short setting in SFRU4.

  • Net pack OIs didn't see huge movement on the day, with net short setting prevailing in the whites, reds and blues, while net long scover seemed to dominate in the greens.
  • FOMC-dated OIS remained within familiar ranges on the day, as Fedspeak, bond supply and a rally in oil prices were assessed,
25-Mar-2422-Mar-24Daily OI ChangeDaily OI Change In Packs
SFRH4992,724992,751-27Whites+1,814
SFRM41,168,9881,183,807-14,819Reds+8,560
SFRU41,027,5911,009,556+18,035Greens-8,253
SFRZ41,146,1861,147,561-1,375Blues+3,332
SFRH5716,271718,125-1,854
SFRM5785,608780,011+5,597
SFRU5656,731665,139-8,408
SFRZ5665,962652,737+13,225
SFRH6468,002469,606-1,604
SFRM6504,185505,465-1,280
SFRU6388,843391,003-2,160
SFRZ6347,785350,994-3,209
SFRH7236,049231,992+4,057
SFRM7198,671197,099+1,572
SFRU7159,401161,104-1,703
SFRZ7194,778195,372-594
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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