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OI Suggests Long Cover Dominated On Futures Strip On Thursday

EURIBOR

The combination of yesterday's weakness in Euribor futures & OI data points to a combination of net long cover and net short setting, with the former dominating all packs through the blues.

  • The most pronounced round of net pack OI movement came in the whites.
  • A reminder that ECB speak from Wunsch and Lane factored into the continued unwinding of pricing re: ECB cuts, with end of '24 ECB-dated OIS pricing moving below 125bp of cuts over the past couple of session i.e. markets no longer price 5x 25bp cuts in '24 (the ECB has 7 meetings remaining during the current calendar year)
08-Feb-2407-Feb-24Daily OI ChangeDaily OI Change In Packs
ERH4849,454861,415-11,961Whites-39,427
ERM4647,767646,444+1,323Reds-3,052
ERU4411,296426,698-15,402Greens-5,437
ERZ4415,858429,245-13,387Blues-2,734
ERH5377,357382,079-4,722
ERM5332,387331,414+973
ERU5259,720258,230+1,490
ERZ5294,948295,741-793
ERH6190,374191,686-1,312
ERM6121,183121,268-85
ERU6102,573108,190-5,617
ERZ696,41094,833+1,577
ERH776,50775,793+714
ERM752,80354,957-2,154
ERU746,91947,755-836
ERZ759,76960,227-458
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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