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OI Points To Mix Of SOFR Positioning Swings On Tuesday

STIR

The combination of yesterday’s twist steepening of the SOFR strip and preliminary OI data points to the following:

  • Short cover in SFRU3, long cover in SFRZ3 & SFRH4.
  • A mix of short setting and long cover in the reds, with the long cover being the dominant force on a pack basis.
  • Long cover in the greens.
  • Short setting providing the dominant force in the blues.
19-Sep-2318-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,103,9411,105,994-2,053Whites-55,068
SFRU31,070,7831,079,924-9,141Reds-25,479
SFRZ31,307,3011,340,179-32,878Greens-4,245
SFRH4958,988969,984-10,996Blues+10,748
SFRM4907,306928,707-21,401
SFRU4787,404799,265-11,861
SFRZ4898,693890,572+8,121
SFRH5529,954530,292-338
SFRM5595,724596,690-966
SFRU5480,806481,023-217
SFRZ5443,055444,256-1,201
SFRH6312,270314,131-1,861
SFRM6245,417250,949-5,532
SFRU6201,010189,800+11,210
SFRZ6190,706187,463+3,243
SFRH7129,462127,635+1,827
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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