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

STIR

The combination of yesterday's richening on the SOFR strip and preliminary OI data points to the following positioning swings on Wednesday:

  • Whites: An apparent mix of long setting and short cover. Although net short cover only appeared to be seen in one contract (SFRM4) it managed to dominate on a net pack basis.
  • Reds: Relatively limited net long setting was seemingly seen on a pack basis, with some pockets of short cover limiting the pack-wide positioning move.
  • Greens: Very limited apparent net long setting on a pack basis, with rounds of long setting and short cover near enough offsetting in net OI terms.
  • Blues: Long setting was seemingly seen across the pack.
27-Dec-2326-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRZ31,307,0881,300,800+6,288Whites-5,295
SFRH41,139,3201,125,074+14,246Reds+3,493
SFRM41,063,9671,091,821-27,854Greens+990
SFRU4944,399942,374+2,025Blues+11,720
SFRZ4919,937909,543+10,394
SFRH5563,983561,092+2,891
SFRM5599,716607,060-7,344
SFRU5571,716574,164-2,448
SFRZ5548,829550,597-1,768
SFRH6422,450418,199+4,251
SFRM6378,077378,100-23
SFRU6307,522308,992-1,470
SFRZ6252,564248,972+3,592
SFRH7152,308149,655+2,653
SFRM7143,847139,920+3,927
SFRU7153,740152,192+1,548
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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