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OI Points To Net Long Setting & Short Cover In SONIA Futures Post-BoE

STIR

The combination of yesterday’s rally in SONIA futures and OI data points to a mix of net long setting and net short cover, with the former dominating in the whites and reds and the latter dominating in the greens and blues.

  • The dovish vote move in the BoE decision, coupled with Governor Bailey’s post-meeting comments to local press outlets, have resulted in a dovish shift in UK STIR markets.
  • June is now seen as the most likely starting point for the BoE cutting cycle (based on sell-side reports that we have seen).
  • BoE-dated OIS now prices ~20bp of cuts through June.
21-Mar-2420-Mar-24Daily OI ChangeDaily OI Change In Packs
SFIH4217,111184,147+32,964Whites+28,380
SFIM4267,504263,517+3,987Reds+17,779
SFIU4216,920217,461-541Greens-1,117
SFIZ4296,789304,819-8,030Blues-3,510
SFIH5191,040184,574+6,466
SFIM5163,552159,987+3,565
SFIU5115,682117,220-1,538
SFIZ5157,310148,024+9,286
SFIH6110,286109,622+664
SFIM676,69577,822-1,127
SFIU650,98248,920+2,062
SFIZ657,93460,650-2,716
SFIH737,81739,291-1,474
SFIM731,99831,119+879
SFIU723,70721,952+1,755
SFIZ716,89121,561-4,670
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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