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OI Points To Mixed SOFR Positioning Swings On Monday

STIR

The combination of preliminary OI data and Monday's twisting of the SOFR strip points to the following positioning swings to start the week:

  • Whites: A mix of long cover (SFRH4), long setting (SFRM4) and short cover (SFRU4). It is hard to be certain when it comes to SFRZ3 positioning movement given the unchanged price status on the day.
  • Reds: A mix of long setting and short cover, with the former slightly more pronounced in net pack terms.
  • Greens: A mix of long setting and short cover, with the former once again dominating in net pack terms.
  • Blues: A mix of long setting and short cover, with the latter slightly more pronounced in net pack terms
08-Jan-2405-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,205,9951,219,694-13,699Whites-46,938
SFRH41,150,1961,177,009-26,813Reds+4,921
SFRM41,062,4911,059,879+2,612Greens+8,031
SFRU4931,249940,287-9,038Blues-3,457
SFRZ4960,471954,728+5,743
SFRH5535,626538,338-2,712
SFRM5610,891615,083-4,192
SFRU5575,041568,959+6,082
SFRZ5546,687546,255+432
SFRH6404,635405,429-794
SFRM6382,177376,501+5,676
SFRU6303,481300,764+2,717
SFRZ6263,171258,812+4,359
SFRH7141,601144,803-3,202
SFRM7138,730138,047+683
SFRU7151,310156,607-5,297
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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