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OI Points To Mix Of SOFR Positioning Swings On Wednesday

STIR

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

  • Whites: Apparent long setting seen across most of the pack, with the only exception seemingly coming via very modest short cover in SFRZ3.
  • Reds: A mix of long setting (SFRZ4 & H5) and long cover (SFRU5). It is hard to be definitive when it comes to positioning movement in SFRM5 given the unchanged price status come settlement.
  • Greens: An apparent mix of short setting (SFRZ5 & SFRM6) and long cover (SFRH6 & SFRU6). Short setting provided more influence in net pack terms.
  • Blues: An apparent mix of long cover (SFRZ6, SFRM7 & SFRU7) and modest short setting (SFRH7), with the former dominating in net pack terms.
10-Jan-2409-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,207,3601,208,013-653Whites+22,645
SFRH41,157,0401,156,180+860Reds-6,923
SFRM41,075,9121,069,144+6,768Greens+3,629
SFRU4959,972944,302+15,670Blues-4,966
SFRZ4989,066982,305+6,761
SFRH5528,238527,734+504
SFRM5603,341607,488-4,147
SFRU5563,522573,563-10,041
SFRZ5566,441562,187+4,254
SFRH6408,499410,361-1,862
SFRM6385,437383,898+1,539
SFRU6304,345304,647-302
SFRZ6260,486264,243-3,757
SFRH7137,092136,292+800
SFRM7137,627138,760-1,133
SFRU7150,929151,805-876
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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