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

STIR

The combination of yesterday's sell off on the SOFR strip and preliminary OI data point to the following position swings

  • Whites: Apparent rounds of net short setting in SFRM4 & U4 outweighed apparent net long cover in SFRZ3 & SFRH4.
  • Reds: Apparent net short setting dominated in net pack terms, with only seeming long cover in SFRZ4 breaking the wider theme seen in the pack.
  • Greens: What seemed to be long cover in SFRH6 & U6 seemed to outweigh apparent net short setting in SFRZ5 & M6 when it came to net pack terms.
  • Blues: Net long cover seemed to dominate in pack terms, with only SFRM7 breaking that theme (apparent modest net short setting in that contract).
  • UK CPI, U.S. retail sales and ECB speak provided the key fundamental inputs on Wednesday, pressuring bond and core global STIR markets.
17-Jan-2416-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,194,1571,194,232-75Whites+16,673
SFRH41,169,3931,178,569-9,176Reds+9,777
SFRM41,118,8591,112,430+6,429Greens-2,495
SFRU4977,656958,161+19,495Blues-4,744
SFRZ41,037,0011,047,177-10,176
SFRH5543,894531,204+12,690
SFRM5642,873639,578+3,295
SFRU5577,374573,406+3,968
SFRZ5582,207578,001+4,206
SFRH6420,553423,505-2,952
SFRM6419,568418,662+906
SFRU6297,252301,907-4,655
SFRZ6259,182262,362-3,180
SFRH7134,141135,868-1,727
SFRM7145,774145,007+767
SFRU7153,724154,328-604
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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