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OI Points To Mixed Positioning Swings On SOFR Strip On  Monday

STIR

The mix of the modest, non-uniform net price swings on the SOFR strip on Monday and preliminary OI data points to the following net positioning swings as market participants digested the latest round of Fedspeak:

  • Whites: A mix of long setting (SFRU3 & H4), long cover (SFRZ3) & short cover (SFRM4).
  • Reds: A mix of short cover (SFRU4 & Z4) & long cover (SFRM5). It's hard to be definitive re: SFRH5 given the lack of net price movement on the day.
  • Greens & Blues: Both packs saw some light short setting in net terms, albeit with pockets of long cover observed.
18-Dec-2315-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,116,1111,102,490+13,621Whites-1,682
SFRZ31,368,9481,385,303-16,355Reds-19,029
SFRH41,100,3931,098,423+1,970Greens+7,490
SFRM41,000,5751,001,493-918Blues+10,501
SFRU4932,674934,733-2,059
SFRZ4874,304880,509-6,205
SFRH5561,229566,132-4,903
SFRM5604,753610,615-5,862
SFRU5600,171592,983+7,188
SFRZ5564,241565,100-859
SFRH6413,903408,557+5,346
SFRM6380,998385,183-4,185
SFRU6307,651310,594-2,943
SFRZ6238,981228,669+10,312
SFRH7147,575143,847+3,728
SFRM7139,356139,952-596
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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