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OI Suggests Long & Short Setting Dominated In Different Areas Of SOFR Strip On Tuesday

STIR

The combination of yesterday’s twist steepening of the SOFR strip and preliminary OI data points to the following positioning swings on Tuesday:

  • Whites: Net long setting was seemingly seen across all contracts outside of SFRU4. It is hard to be definitive when it comes to SFRU4 given its unchanged price status on the day.
  • Reds: Net short setting was seemingly seen in all contracts in the pack.
  • Greens: An apparent mix of net short setting (SFRZ5 & U6) and net long cover (SFRH6 & M6), with the former comfortably dominating in net pack OI terms.
  • Blues: An apparent mix of net short setting (SFRZ6 & H7) and net long cover (SFRM7 & U7), with the former comfortably dominating in net pack OI terms.
23-Jan-2422-Jan-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,200,2761,198,303+1,973Whites+51,785
SFRH41,233,1121,212,232+20,880Reds+38,297
SFRM41,110,5731,097,441+13,132Greens+20,414
SFRU4985,608969,808+15,800Blues+5,448
SFRZ41,036,1941,008,817+27,377
SFRH5547,830541,747+6,083
SFRM5645,839643,160+2,679
SFRU5576,785574,627+2,158
SFRZ5632,317613,524+18,793
SFRH6422,397425,094-2,697
SFRM6420,501422,085-1,584
SFRU6303,633297,731+5,902
SFRZ6259,001254,794+4,207
SFRH7136,296134,146+2,150
SFRM7146,536146,686-150
SFRU7150,257151,016-759
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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