NOK: Downside Pressure In Norwegian Rates Continues
Downside pressure in Norwegian rates since the June Norges Bank decision has extended this morning, with 2-year swap rates down another 3bps and 10-year rates down 6bps. NGB yields are also biased lower, though to a lesser extent than swap counterparts. Recent movements in rate differentials have been reflected in FX markets, with NOK underperforming all G10 peers since the surprise rate cut on June 19. See below for a couple of recent sell-side views in the NOK rates space:
- Danske Bank note that “yesterday's dual auction in NGB'29 and NGB'35 went well which now leaves more than a month of no supply coming to the market. We highlight that the net supply backdrop for NGBs will look very different in H2 compared to H1 which adds support to both our macro-, positioning- and relative valuation arguments of buying NBGs vs peers.”
- Meanwhile, SEB have noted for several weeks that they see scope for more curvature in the NOK OIS curve. To capture this, they have highlighted a broken fly structure which incorporates a Jun26/Dec26 flattener versus a Jun27/Jun28 steepener.
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STIR: Mix Of Net Long Setting & Cover Seen In SOFR Futures On Monday
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.
- Net long setting then dominated in most of the reds, before a more balanced mix of net long setting and short cover became evident further out the strip.
| 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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OUTLOOK: Price Signal Summary - A Bull Cycle In S&P E-Minis Remains Intact
- In the equity space, the trend condition in S&P E-Minis is unchanged and remains bullish. Recent gains delivered a print above 5993.50, the May 20 high and a bull trigger. The break highlights a resumption of the uptrend and maintains a price sequence of higher highs and higher lows. An extension would open 6057.00 next, the Mar 3 high. Key support lies at 5756.81, the 50-day EMA. A clear break of this average is required to highlight a reversal.
- The trend cycle in EUROSTOXX 50 futures remains bullish and recent weakness appears corrective. Moving average studies are in a bull-mode position, highlighting a clear dominant uptrend. Sights are on 5516.00, the Mar 3 high and the key bull trigger. Clearance of this level would strengthen a bull theme. Key support to watch lies at 5258.36, the 50-day EMA.
FINLAND T-BILL AUCTION RESULTS: 8/11-Month RFTBs
| 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
