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SOFR Seemingly Sees Mix Of Positioning Swings On Wednesday

STIR

The mix of preliminary OI data and Wednesday’s twist steepening on the SOFR strip point to the following net positioning swings:

  • Whites: An apparent mix of long setting and short cover, with the former dominating on a pack basis.
  • Reds: Apparent long cover dominating on a pack basis.
  • Greens: Apparent short setting seen through the pack.
  • Blues: Apparent short setting seen through most of the pack, including the largest round of apparent short setting on the strip (in SFRU6).
18-Oct-2317-Oct-23Daily OI ChangeDaily OI Change In Packs
SFRU3929,995930,744-749Whites+7,944
SFRZ31,447,5391,442,852+4,687Reds-15,057
SFRH4976,541982,806-6,265Greens+17,393
SFRM4943,835933,564+10,271Blues+18,240
SFRU4792,227791,746+481
SFRZ4991,6441,001,086-9,442
SFRH5512,530516,415-3,885
SFRM5573,456575,667-2,211
SFRU5501,827500,173+1,654
SFRZ5533,053529,828+3,225
SFRH6331,104322,998+8,106
SFRM6297,838293,430+4,408
SFRU6244,745227,664+17,081
SFRZ6225,622225,133+489
SFRH7139,795138,888+907
SFRM7134,503134,740-237
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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