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OI Points To Mix Of SONIA Short Setting & Long Cover On Wednesday

STIR

The combination of yesterday's PMI-induced move lower on the SONIA futures strip & OI data point to the following positioning swings:

  • Whites: A mix of net long cover (SFIH4 & M4) and short setting (SFIU4). OI was little changed in SFIZ3 and the price of that contract was unchanged on the day at settlement. The net bias in the pack was geared towards long cover.
  • Reds: Apparent net short setting was seemingly seen in all contracts outside of what seemed to be modest net long cover in SFIZ4, with the former dominating in net pack terms.
  • Greens: Apparent net long cover was seemingly seen in all contracts outside of what seemed to be modest net short setting in SFIU6, with the former dominating in net pack terms.
  • Blues: Net short setting was seemingly seen in all contracts across the pack.
  • A quick reminder that the pullback from late December dovish extremes in BoE pricing saw the move below 100bp of '24 rate cuts extend into the low 90s (a little over 150bp of cuts was briefly priced for '24 in late Dec '23).
24-Jan-2423-Jan-24Daily OI ChangeDaily OI Change In Packs
SFIZ3194,812195,365-553Whites-4,362
SFIH4184,629186,997-2,368Reds+12,825
SFIM4179,591186,174-6,583Greens-3,936
SFIU4211,797206,655+5,142Blues+4,836
SFIZ4255,481256,240-759
SFIH5167,937164,195+3,742
SFIM5139,046133,343+5,703
SFIU599,49695,357+4,139
SFIZ5105,504105,763-259
SFIH682,19384,895-2,702
SFIM654,40055,675-1,275
SFIU639,92539,625+300
SFIZ645,18144,107+1,074
SFIH733,94832,346+1,602
SFIM720,97719,660+1,317
SFIU712,26211,419+843
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

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