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OI Points to Mixed SOFR Positioning Swings On Monday

STIR

Yesterday’s twist steepening of the SOFR strip, coupled with preliminary open interest data, points to the following net positioning swings on Monday.

  • Whites: A mix of short cover, short setting and long cover , which resulted in little net OI change in pack terms.
  • Reds: A mix of short setting and long cover, with the former dominating.
  • Greens: Short setting and long cover roughly netting off for little change in OI.
  • Blues: Short setting was seemingly seen through the pack.
16-Oct-2313-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3946,880952,590-5,710Whites+360
SFRZ31,414,0791,406,382+7,697Reds+11,736
SFRH4971,683977,606-5,923Greens-760
SFRM4946,640942,344+4,296Blues+6,011
SFRU4842,862840,405+2,457
SFRZ4970,016957,600+12,416
SFRH5536,981538,570-1,589
SFRM5571,623573,171-1,548
SFRU5494,237490,531+3,706
SFRZ5511,568513,548-1,980
SFRH6314,945314,704+241
SFRM6285,701288,428-2,727
SFRU6227,529226,516+1,013
SFRZ6227,234223,940+3,294
SFRH7136,486136,249+237
SFRM7138,563137,096+1,467
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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