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OI Points To Mix Of SOFR Positioning Swings On Monday

STIR

The combination of yesterday's twist flattening on the SOFR strip and preliminary OI data points to the following:

  • Whites: A mix of apparent short setting (SFRH4) and short cover (SFRU4). It is hard to be certain when it comes to SFRZ3 & M4 positioning, with prices unchanged come settlement. OI ticked higher in net pack terms.
  • Reds: A mix of short cover (SFRZ4 & H5) and long setting (SFRM5 & U5). Short cover seemed to dominate in net pack terms.
  • Greens: An apparent mix of long setting (SFRZ5 & H6) and short cover (SFRM6 & U6), with the latter slightly more prominent when it comes to net pack OI.
  • Blues: Short cover through most of the pack, with the only exception coming via apparent long setting in SFRM7. Short cover seemed to dominate in net pack OI terms.
22-Jan-2419-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,198,3041,196,333+1,971Whites+8,556
SFRH41,209,3911,193,644+15,747Reds-7,735
SFRM41,099,4081,098,369+1,039Greens-1,517
SFRU4970,476980,677-10,201Blues-3,092
SFRZ41,009,2501,016,513-7,263
SFRH5541,747546,917-5,170
SFRM5643,222639,419+3,803
SFRU5574,627573,732+895
SFRZ5613,524611,921+1,603
SFRH6425,094424,304+790
SFRM6422,085423,636-1,551
SFRU6297,731300,090-2,359
SFRZ6255,224255,622-398
SFRH7134,163137,637-3,474
SFRM7146,686145,090+1,596
SFRU7151,016151,832-816
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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