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OI Points to Mix Of Short Setting & Long Cover On SOFR Strip On Tuesday

STIR

The mix of the bear steepening on the SOFR curve on Tuesday and preliminary open interest data point to a mix of net positioning swings on the strip.

  • The whites and reds were seemingly dominated by long cover, albeit with pockets of apparent short setting seen.
  • Meanwhile, the greens and the blues were seemingly dominated by short setting, with pockets of apparent long cover seen.
03-Oct-2302-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU31,004,1431,013,069-8,926Whites-1,952
SFRZ31,385,4221,400,502-15,080Reds-17,332
SFRH4971,662958,839+12,823Greens+11,699
SFRM4937,516928,285+9,231Blues+10,371
SFRU4809,462815,251-5,789
SFRZ4933,626942,902-9,276
SFRH5544,299547,093-2,794
SFRM5571,278570,751+527
SFRU5496,302505,554-9,252
SFRZ5509,028499,596+9,432
SFRH6311,072309,236+1,836
SFRM6268,304258,621+9,683
SFRU6215,903206,576+9,327
SFRZ6180,474180,775-301
SFRH7130,769130,352+417
SFRM7137,049136,121+928
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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