SOFR: Short Setting & Long Cover Seen In Futures On Tuesday
OI data suggests that net short setting dominated through the reds as SOFR futures sold off on Tuesday, before a better mix of short setting and long cover was seen in the greens and long cover dominated in the whites.
- Firmer-than-expected JOLTS job openings data drove much of the hawkish move, although the finer details of the release were softer than the headline reading.
| 09-Dec-25 | 08-Dec-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,304,279 | 1,298,677 | +5,602 | Whites | +35,190 |
SFRZ5 | 1,609,323 | 1,584,259 | +25,064 | Reds | +36,511 |
SFRH6 | 1,462,042 | 1,439,357 | +22,685 | Greens | +3,190 |
SFRM6 | 1,113,193 | 1,131,354 | -18,161 | Blues | -19,522 |
SFRU6 | 1,094,579 | 1,082,871 | +11,708 |
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SFRZ6 | 1,131,495 | 1,122,066 | +9,429 |
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SFRH7 | 853,243 | 842,651 | +10,592 |
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SFRM7 | 781,292 | 776,510 | +4,782 |
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SFRU7 | 813,697 | 800,035 | +13,662 |
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SFRZ7 | 833,822 | 837,578 | -3,756 |
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SFRH8 | 437,073 | 441,870 | -4,797 |
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SFRM8 | 397,615 | 399,534 | -1,919 |
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SFRU8 | 371,275 | 380,247 | -8,972 |
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SFRZ8 | 327,808 | 331,093 | -3,285 |
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SFRH9 | 191,324 | 196,071 | -4,747 |
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SFRM9 | 208,323 | 210,841 | -2,518 |
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STIR: RONIA likely to remain elevated until Thursday's STR operation
- There is continued focus on UK funding markets. STR takeup dropped back somewhat last week and we saw RONIA spike once again on Thursday as a result, a move that was continued and slightly extended on Friday. We expect RONIA may remain at elevated levels until STR usage picks up again this week (which is very likely in our view).
- Note that tomorrow sees the last ILTR operation before the spread is increased with the operation being priced at Bank Rate plus 3bp from next week when used with Level A collateral (rather than the Bank Rate flat as it has been priced at so far). The change in the spread will only apply to new drawings from next week and so will be the last opportunity to lock in a slightly cheaper rate for 6-months. The date the spread change would be applicable from was announced on Friday but it had been announced months ago that this would take place in November.
- We are unsure how much of the previous ILTR takeup was in response to ILTR repayments and how much was frontrunning ahead of the spread changing. ILTR usage stands at GBP55.4bln (as of last week’s operation) up from around GBP31bln two months ago (around GBP24bln more). In the same two month period TFSME usage fell from around GBP79bln to around GBP42bln (around GBP37bln less).
- We still think that the increase in RONIA is largely a temporary market dislocation but as we continue to edge closer to PMRR and to a more demand-led BOE balance sheet with ample rather than excess reserves volatility in RONIA is likely to be increased relatively to prior periods.
Chart source: Bloomberg Finance LLP
LOOK AHEAD: Monday Data Calendar: Fed Speak, Tsy Bills & 3Y Note Auctions
- US Data/Speaker Calendar (prior, estimate)
- 11/10 0945 StL Fed Musalem on Bbg TV
- 11/10 1130 US Tsy $86B 13W & $77B 26W bill auctions
- 11/10 1300 US Tsy $95B 6W bill & $58B 3Y Note Auction (91282CPK1)
- Source: Bloomberg Finance L.P. / MNI
OPTIONS: Expiries for Nov10 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.1475(E1.9bln), $1.1500(E1.1bln), $1.1550(E723mln), $1.1600(E784mln), $1.1750(E1.1bln), $1.1770(E1.2bln)
- GBP/USD: $1.3100(Gbp712mln)
- EUR/GBP: Gbp0.8825(E609mln)
- AUD/USD: $0.6610-20(A$1.3bln)
- USD/CNY: Cny7.1000($651mln)
