June 18, 2024 10:22 GMT
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-24 | 14-Jun-24 | Daily OI Change | Daily OI Change In Packs | ||
| SFRH4 | 904,862 | 903,972 | +890 | Whites | -4,256 |
| SFRM4 | 1,200,808 | 1,185,969 | +14,839 | Reds | -44,516 |
| SFRU4 | 1,133,452 | 1,119,070 | +14,382 | Greens | +12,034 |
| SFRZ4 | 1,004,807 | 1,039,174 | -34,367 | Blues | +7,644 |
| SFRH5 | 815,912 | 818,698 | -2,786 | ||
| SFRM5 | 731,254 | 761,235 | -29,981 | ||
| SFRU5 | 621,486 | 631,970 | -10,484 | ||
| SFRZ5 | 806,665 | 807,930 | -1,265 | ||
| SFRH6 | 572,404 | 567,246 | +5,158 | ||
| SFRM6 | 471,976 | 473,384 | -1,408 | ||
| SFRU6 | 414,782 | 407,463 | +7,319 | ||
| SFRZ6 | 356,502 | 355,537 | +965 | ||
| SFRH7 | 250,083 | 255,660 | -5,577 | ||
| SFRM7 | 193,647 | 190,636 | +3,011 | ||
| SFRU7 | 175,429 | 165,636 | +9,793 | ||
| SFRZ7 | 163,459 | 163,042 | +417 |
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