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)
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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
