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OI Points To Short Setting Dominating On The SOFR Strip Post-Powell

STIR

The combination of the bear steepening of the SOFR strip and preliminary open interest data points to short setting as the dominant positioning factor across the SOFR strip on Thursday, with Fed Chair Powell’s latest appearance and the poorly received 30-Year Tsy auction providing the most notable drivers for the space.

  • The whites appeared to see the most pronounced round of short setting on a pack basis, with the net pack OI swings then operating on a sliding scale through the blues.
  • Pockets of apparent long cover were noted in all packs.
09-Nov-2308-Nov-23Daily OI ChangeDaily OI Change In Packs
SFRU3933,206934,119-913Whites+51,942
SFRZ31,540,5501,511,480+29,070Reds+33,323
SFRH41,176,5491,146,054+30,495Greens+3,279
SFRM4997,0711,003,781-6,710Blues+813
SFRU4940,279929,383+10,896
SFRZ4961,455962,587-1,132
SFRH5523,784502,777+21,007
SFRM5570,112567,560+2,552
SFRU5559,029545,041+13,988
SFRZ5583,552591,286-7,734
SFRH6357,176359,428-2,252
SFRM6280,610281,333-723
SFRU6277,960275,940+2,020
SFRZ6213,901212,754+1,147
SFRH7136,638138,634-1,996
SFRM7119,917120,275-358
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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