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Short Setting Dominated SOFR Positioning Swings On Friday

STIR

The combination of Friday’s cheapening and preliminary open interest data points to a mix of short setting and long trimming when it came to SOFR net positioning swings through the blues into the weekend.

  • It seems that only the reds saw a net reduction of longs on a pack basis, while the whites, greens and blues seemingly saw fresh shorts added on net.
11-Aug-2310-Aug-23Daily OI ChangeDaily OI Change In Packs
SFRM31,118,4601,115,753+2,707Whites+4,381
SFRU31,178,3581,159,795+18,563Reds-14,769
SFRZ31,280,4451,294,276-13,831Greens+31,162
SFRH4896,933899,991-3,058Blues+12,395
SFRM4825,771834,599-8,828
SFRU4762,631776,409-13,778
SFRZ4740,092740,848-756
SFRH5535,519526,926+8,593
SFRM5614,084604,650+9,434
SFRU5465,485459,756+5,729
SFRZ5417,992405,747+12,245
SFRH6260,391256,637+3,754
SFRM6213,396206,406+6,990
SFRU6152,229152,548-319
SFRZ6180,179179,673+506
SFRH7132,759127,541+5,218
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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