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OI Points To SOFR Short Setting & Long Cover On Thursday

STIR

The mix of yesterday’s cheapening on the SOFR strip and preliminary OI data points to a mix of short setting and long cover across the strip on Thursday.

  • The whites seemed to see the largest round of net short setting on a pack basis, although that was mostly driven by a sizeable OI swing in SFRU4.
  • The reds and blues saw more modest rounds of net short setting on a pack basis (the blues seemed to see net short setting across all contracts).
  • The greens seemingly saw net long cover across all contracts.
28-Dec-2327-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRZ31,309,3101,306,009+3,301Whites+25,145
SFRH41,132,3571,133,376-1,019Reds+1,486
SFRM41,060,6411,059,435+1,206Greens-10,129
SFRU4966,045944,388+21,657Blues+6,830
SFRZ4924,866917,456+7,410
SFRH5555,499563,278-7,779
SFRM5598,382599,716-1,334
SFRU5574,705571,516+3,189
SFRZ5547,533548,829-1,296
SFRH6420,946421,443-497
SFRM6370,525378,077-7,552
SFRU6306,738307,522-784
SFRZ6255,461252,564+2,897
SFRH7154,292152,243+2,049
SFRM7145,455143,847+1,608
SFRU7154,016153,740+276
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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