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OI Points To Mixed Positioning Swings On SOFR Strip On Thursday

STIR

The combination of yesterday’s twist steepening of the SOFR strip and preliminary OI data points to the following positioning swings on Thursday:

  • Whites: A mix of long setting (SFRZ3), short setting (SFRH4 & U4) & long cover (SFRM4).
  • Reds, Greens & Blues: Long cover dominated in all 3 packs in net terms, with pockets of short setting seen.
04-Jan-2403-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,267,2351,250,730+16,505Whites+35,174
SFRH41,153,4851,136,030+17,455Reds-6,832
SFRM41,044,9011,060,693-15,792Greens-106
SFRU4965,483948,477+17,006Blues-13,468
SFRZ4952,339956,123-3,784
SFRH5542,648537,475+5,173
SFRM5628,953631,916-2,963
SFRU5572,332577,590-5,258
SFRZ5541,380538,654+2,726
SFRH6409,649410,429-780
SFRM6375,207376,331-1,124
SFRU6298,648299,576-928
SFRZ6249,664249,336+328
SFRH7145,219153,473-8,254
SFRM7138,643143,361-4,718
SFRU7157,488158,312-824
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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