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

STIR

The combination of yesterday's sell off on the SOFR strip and preliminary open interest data point to a mix of short setting and long cover on Tuesday.

  • Short setting was seen in net terms in the whites, reds and blues, while the greens saw light long cover on net.
17-Oct-2316-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3946,880952,590-5,710Whites+7,420
SFRZ31,421,8991,406,382+15,517Reds+11,612
SFRH4970,779977,606-6,827Greens-1,499
SFRM4946,784942,344+4,440Blues+5,587
SFRU4842,852840,405+2,447
SFRZ4969,902957,600+12,302
SFRH5536,981538,570-1,589
SFRM5571,623573,171-1,548
SFRU5494,187490,531+3,656
SFRZ5511,065513,548-2,483
SFRH6314,945314,704+241
SFRM6285,515288,428-2,913
SFRU6227,529226,516+1,013
SFRZ6227,234223,940+3,294
SFRH7136,062136,249-187
SFRM7138,563137,096+1,467
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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