MNI China Daily Summary: Tuesday, Aug 27

MNI BRIEF: Japan's July Trimmed Mean Rises 1.8% Vs. 2.1% - BOJ

MNI: PBOC Net Injects CNY323.4 Bln via OMO Tuesday

MNI BRIEF: China Urges Canada To Drop Additional EV Tariffs

MNI BRIEF: China Industrial Profits Expanded Further In July

MNI: PBOC Sets Yuan Parity Higher At 7.1249 Tues; +2.38% Y/Y

US Treasury Auction Calendar

EZ/UK Bond Supply Calendar: Austria Synd; UK Auction Wednesday

MNI: US CONF BOARD CONSUMER CONFIDENCE 103.3 IN AUG V JUL 101.9

UK: Week Ahead

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

OI Points To Dominant Short Setting In SOFR Whites & Reds Post-Payrolls

STIR

Friday’s payroll-inspired weakness on the SOFR strip, coupled with preliminary OI data, points to short setting as the dominant positioning factor into the weekend, with the degree of Fed cuts priced into markets moderating post-payrolls.

  • SFRH5 was the only contract that seemed to experience net long cover through the reds.
  • Beyond there, the greens saw little net OI change, with short setting and long cover essentially offsetting.
  • Meanwhile, long cover seemed to dominate in the blues.
  • A reminder that long setting had been the dominant positioning theme over the last few weeks or so, given quirks in the very front end of the strip (surrounding month-end fixings) and dovish repricing re: Fed expectations.
08-Dec-2307-Dec-23Daily OI ChangeDaily OI Change In Packs
SFRU31,175,6531,161,738+13,915Whites+66,408
SFRZ31,530,1961,502,008+28,188Reds+62,265
SFRH41,112,0721,100,122+11,950Greens+811
SFRM41,001,993989,638+12,355Blues-5,965
SFRU4906,312898,581+7,731
SFRZ4987,262947,142+40,120
SFRH5557,384558,029-645
SFRM5606,113591,054+15,059
SFRU5603,119607,870-4,751
SFRZ5562,184557,837+4,347
SFRH6413,367412,541+826
SFRM6369,130368,741+389
SFRU6319,096321,732-2,636
SFRZ6245,874248,317-2,443
SFRH7149,858149,774+84
SFRM7140,738141,708-970
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsHomepage

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.