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OI Points To Mixed Positioning Swings In SOFR on Tuesday

STIR

The combination of yesterday’s price action and preliminary OI data point to the following net positioning swings on the SOFR strip:

  • Short cover was seemingly seen in SFRM3-Z3, while SFRH4 seemingly saw fresh shorts added. The former dominated the latter when it came to net impact.
  • The reds seemed to see a mix of fresh shorts added and long cover, with the former dominating.
  • Net OI in the greens was essentially unchanged, with any short setting being offset by long cover.
  • The blues saw a mix of positioning swings, with the unchanged nature of SFRU6 in price terms muddying any inference re: net positioning swings in that pack.
12-Sep-2311-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRM31,113,8161,120,406-6,590Whites-9,407
SFRU31,142,6971,142,835-138Reds+24,528
SFRZ31,273,4971,285,628-12,131Greens-67
SFRH4976,807967,355+9,452Blues+2,677
SFRM4901,706898,197+3,509
SFRU4820,283808,284+11,999
SFRZ4882,271871,963+10,308
SFRH5524,957526,245-1,288
SFRM5577,344578,361-1,017
SFRU5486,029485,977+52
SFRZ5426,462426,893-431
SFRH6290,806289,477+1,329
SFRM6246,904245,882+1,022
SFRU6167,116163,900+3,216
SFRZ6171,408173,003-1,595
SFRH7126,323126,289+34
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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