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

STIR

Yesterday's downtick in most SOFR futures and preliminary OI data points to the following net positioning swings:

  • Whites: The only real inference that we can provide with conviction points to net long cover in SFRZ4. Net OI was little changed in the remaining contracts, while pricing in SFRH4 through U4 was unchanged at settlement. This was despite a wave of buying in the whites during the NY morning.
  • Reds: Net long cover was seemingly seen in all contracts.
  • Greens: Net short setting was seemingly seen in all contracts.
  • Blues: A mix of net short setting and long cover.
  • The move off the recent hawkish extremes has stalled a little, with participants awaiting the next catalyst (which may come in the form of cross-market impact from today's BoE decision).
08-May-2407-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4911,794911,865-71Whites-4,489
SFRM41,086,5341,084,779+1,755Reds-23,781
SFRU41,083,8771,083,312+565Greens+38,335
SFRZ41,205,0071,211,745-6,738Blues+2,216
SFRH5788,029804,613-16,584
SFRM5801,462805,727-4,265
SFRU5711,909713,780-1,871
SFRZ5842,143843,204-1,061
SFRH6506,000503,881+2,119
SFRM6530,693521,572+9,121
SFRU6405,697388,142+17,555
SFRZ6362,707353,167+9,540
SFRH7247,244244,364+2,880
SFRM7180,456182,050-1,594
SFRU7172,527172,311+216
SFRZ7141,933141,219+714
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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