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Short Setting Seemed To Dominate SOFR On Monday

STIR

The combination of yesterday’s bear steepening on the SOFR strip and preliminary open interest data point to short setting being the dominant positioning factor on the SOFR strip on Monday.

  • The reds saw the most pronounced round of apparent short setting on a pack basis, although pockets of long cover were seen across the curve.
02-Oct-2329-Sep-23Daily OI ChangeDaily OI Change In Packs
SFRU31,013,0691,012,909+160Whites+19,575
SFRZ31,395,9811,400,063-4,082Reds+33,735
SFRH4957,468951,320+6,148Greens+11,021
SFRM4928,205910,856+17,349Blues+4,308
SFRU4815,173811,843+3,330
SFRZ4942,889916,828+26,061
SFRH5547,093548,007-914
SFRM5570,751565,493+5,258
SFRU5505,354499,191+6,163
SFRZ5499,596487,510+12,086
SFRH6309,236314,541-5,305
SFRM6258,621260,544-1,923
SFRU6206,576206,716-140
SFRZ6180,775176,761+4,014
SFRH7130,409131,431-1,022
SFRM7136,121134,665+1,456
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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