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OI suggests Short Setting Seen Across Most SONIA Futures On Wednesday

STIR

OI data and yesterday's weakness in SONIA futures point to net short setting across all SONIA futures packs through the blues. Light rounds of apparent net long cover showed up in some contracts.

  • Familiar comments from BoE dove Dhingra (at an MNi event) had little impact on GBP STIR markets, with wider core global FI weakness more of a factor than domestic issues.
  • BoE-dated OIS pricing of cuts has moved back towards the the shallower end of the recent range (which lies around ~60bp of '24 cuts).
21-Feb-2420-Feb-24Daily OI ChangeDaily OI Change In Packs
SFIZ3185,949185,744+205Whites+1,109
SFIH4202,834201,605+1,229Reds+10,717
SFIM4227,284226,950+334Greens+2,435
SFIU4223,508224,167-659Blues+3,271
SFIZ4295,207286,846+8,361
SFIH5170,852167,990+2,862
SFIM5136,823138,475-1,652
SFIU5112,805111,659+1,146
SFIZ5127,062124,721+2,341
SFIH689,68288,452+1,230
SFIM663,45262,877+575
SFIU642,85544,566-1,711
SFIZ652,51950,254+2,265
SFIH739,59238,791+801
SFIM729,17529,108+67
SFIU719,22119,083+138
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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