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OI Points To Mix Of SOFR Positioning Swings On Tuesday

STIR

The combination of Tuesday’s twist flattening on the SOFR strip and preliminary OI data point to the following net positioning swings:

  • Whites: Net short setting was seemingly seen across all contracts.
  • Reds: Net short setting was seemingly seen across all contracts.
  • Greens: Net short setting was seemingly seen in SFRZ5 & H6, while long cover was seemingly seen in SFRM6,. It is hard to be certain when it comes to SFRU6 given its unchanged price status on the day. We also note that the net OI swing was fairly modest in SFRU6.
  • Blues: Net long setting was seemingly seen through most of the contracts, with some modest net short cover in in SFRU7 providing the only exception.
30-Jan-2429-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,204,4381,200,462+3,976Whites+27,006
SFRH41,256,4231,236,674+19,749Reds+80,884
SFRM41,140,4381,138,553+1,885Greens+16,880
SFRU4984,205982,809+1,396Blues+16,399
SFRZ41,074,2551,038,242+36,013
SFRH5543,910541,886+2,024
SFRM5671,932646,614+25,318
SFRU5591,630574,101+17,529
SFRZ5640,409624,882+15,527
SFRH6419,019415,472+3,547
SFRM6417,185418,710-1,525
SFRU6299,163299,832-669
SFRZ6268,608266,538+2,070
SFRH7138,139133,280+4,859
SFRM7158,543148,692+9,851
SFRU7148,396148,777-381
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

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