AUSTRIA AUCTION PREVIEW: On offer next week

Nov-02 10:22

Austrian Debt Office has announced bond auctions with a combined value of E1.265bln of the following bonds:

  • 0% Oct-28 RAGB (ISIN: AT0000A2VB47)
  • 2.90% Feb-33 RAGB (ISIN: AT0000A324S8)

Historical bullets

STIR: Short Setting Seemed To Dominate SOFR On Monday

Oct-03 10:13

The combination of yesterday’s bear steepening on the SOFR strip and preliminary open interest data point to short setting being the dominant positioning factor on the SOFR strip on Monday.

  • The reds saw the most pronounced round of apparent short setting on a pack basis, although pockets of long cover were seen across the curve.
02-Oct-23 29-Sep-23 Daily OI Change Daily OI Change In Packs
SFRU3 1,013,069 1,012,909 +160 Whites +19,575
SFRZ3 1,395,981 1,400,063 -4,082 Reds +33,735
SFRH4 957,468 951,320 +6,148 Greens +11,021
SFRM4 928,205 910,856 +17,349 Blues +4,308
SFRU4 815,173 811,843 +3,330
SFRZ4 942,889 916,828 +26,061
SFRH5 547,093 548,007 -914
SFRM5 570,751 565,493 +5,258
SFRU5 505,354 499,191 +6,163
SFRZ5 499,596 487,510 +12,086
SFRH6 309,236 314,541 -5,305
SFRM6 258,621 260,544 -1,923
SFRU6 206,576 206,716 -140
SFRZ6 180,775 176,761 +4,014
SFRH7 130,409 131,431 -1,022
SFRM7 136,121 134,665 +1,456

LOOK AHEAD: Tuesday Data Calendar

Oct-03 10:10

Limited data release Tuesday, focus on ADP early Wednesday ahead Fri's September Jobs data

  • US Data/Speaker Calendar (prior, estimate)
  • Oct-3 0800 Atlanta Fed Pres Bostic, moderated discussion on Eco-outlook
  • Oct-3 1000 JOLTS Job Openings (8.827M, 8.815M)
  • Oct-3 1130 US Tsy $44B 52W, $65B 42D CMB bill auctions

US: SOFR FIX - 03/10/23

Oct-03 10:06
  • 1M 5.32751 0.00343
  • 3M 5.41429 0.02614
  • 6M 5.48573 0.03313
  • 12M 5.47767 0.04399