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OI Points To Short Setting On SOFR Strip On Tuesday

STIR

The combination of yesterday's weakness on the SOFR strip and preliminary OI data points to short setting as the dominant positioning swing factor in the initial rounds of '24 trading. Weakness in wider core global FI markets and a reassessment of the degree of '24 easing priced into major STIR curves fed into the move.

  • The reds seemed to see the largest round of net short setting in pack terms, with pockets of long cover (of varying sizes) seen across contracts in all packs through the blues.
02-Jan-2429-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRZ31,309,3751,286,090+23,285Whites+12,105
SFRH41,118,5391,125,418-6,879Reds+31,863
SFRM41,057,1451,053,584+3,561Greens+7,514
SFRU4951,533959,395-7,862Blues+5,079
SFRZ4946,354927,685+18,669
SFRH5548,489548,580-91
SFRM5624,423613,292+11,131
SFRU5574,229572,075+2,154
SFRZ5546,400545,430+970
SFRH6414,591414,120+471
SFRM6379,905372,093+7,812
SFRU6304,937306,676-1,739
SFRZ6255,161254,484+677
SFRH7154,024152,065+1,959
SFRM7147,363145,624+1,739
SFRU7153,612152,908+704
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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