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Free AccessOI Points To Mix Of Short Setting & Long Cover On SOFR Strip On Monday
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 |
To read the full story
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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.