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OI Points To Mix Of Short Setting & Long Cover On SOFR Strip On Monday

STIR

The combination of yesterday’s move lower in SOFR futures and preliminary OI data points to a mix of net short setting and long cover through the blues.

  • The whites saw a light bias towards net long cover as net pack OI ticked lower on the day, even though 3 of the 4 contracts seemed to be subjected to net short setting.
  • The reds seemed to see net long cover in all contracts.
  • Further out, the greens and blues seemed to be subjected to short setting in net pack OI terms, with a couple of pockets of net long cover seen in those contracts.
  • This move came as wider core global FI markets were pressured, mainly owing to a slight reduction in worry surrounding the French political situation and a round of heavy $IG issuance.
  • FOMC-dated OIS saw a reduction in '24 rate cut premium, moving from pricing ~46bp of '24 cuts late on Friday, to just over 40bp of '24 cuts at yesterday's close.
  • That measure remains comfortably within the recent range.
17-Jun-2414-Jun-24Daily OI ChangeDaily OI Change In Packs
SFRH4904,862903,972+890Whites-4,256
SFRM41,200,8081,185,969+14,839Reds-44,516
SFRU41,133,4521,119,070+14,382Greens+12,034
SFRZ41,004,8071,039,174-34,367Blues+7,644
SFRH5815,912818,698-2,786
SFRM5731,254761,235-29,981
SFRU5621,486631,970-10,484
SFRZ5806,665807,930-1,265
SFRH6572,404567,246+5,158
SFRM6471,976473,384-1,408
SFRU6414,782407,463+7,319
SFRZ6356,502355,537+965
SFRH7250,083255,660-5,577
SFRM7193,647190,636+3,011
SFRU7175,429165,636+9,793
SFRZ7163,459163,042+417
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets

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