Downside pressure in Norwegian rates since the June Norges Bank decision has extended this morning, ...
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OI data points to a mix of net long setting and some form of cover in the SOFR whites on Monday. Net long setting was seemingly seen in SFRU5 & Z5, while the unchanged price status of SFRH5 & M5 makes it hard to provide any real inference when it comes to the nature of the apparent net cover seem in those contracts.
| 02-Jun-25 | 30-May-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,068,953 | 1,066,311 | +2,642 | Whites | +2,226 |
SFRM5 | 1,452,883 | 1,469,931 | -17,048 | Reds | +36,874 |
SFRU5 | 1,119,211 | 1,112,571 | +6,640 | Greens | -6,422 |
SFRZ5 | 1,078,359 | 1,068,367 | +9,992 | Blues | -129 |
SFRH6 | 782,440 | 766,816 | +15,624 |
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SFRM6 | 767,357 | 751,371 | +15,986 |
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SFRU6 | 709,679 | 700,153 | +9,526 |
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SFRZ6 | 839,118 | 843,380 | -4,262 |
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SFRH7 | 669,181 | 661,066 | +8,115 |
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SFRM7 | 586,744 | 594,032 | -7,288 |
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SFRU7 | 415,716 | 421,009 | -5,293 |
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SFRZ7 | 418,328 | 420,284 | -1,956 |
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SFRH8 | 289,661 | 287,493 | +2,168 |
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SFRM8 | 213,789 | 211,083 | +2,706 |
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SFRU8 | 162,654 | 164,162 | -1,508 |
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SFRZ8 | 170,139 | 173,634 | -3,495 |
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Type | 8-month RFTB | 11-month RFTB |
Maturity | Feb 13, 2026 | May 13, 2026 |
Amount | E874mln | E1.126bln |
Target | E2bln | Shared |
Previous | E1.116bln | E1.317bln |
Avg yield | 1.920% | 1.907% |
Previous | 2.010% | 2.290% |
Bid-to-cover | 2.14x | 1.67x |
Previous | 1.77x | 1.4x |
Previous date | May 13, 2025 | Mar 11, 2025 |
Source: Bloomberg