SOFR: Fresh Position Setting Dominated In Futures On Thursday
OI data points to a mix of net long (greens & blues) and short (whites & reds) setting dominating across the SOFR futures strip on Thursday, with only 4 rounds of net cover detected through the blues.
| 31-Jul-25 | 30-Jul-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,264,162 | 1,255,816 | +8,346 | Whites | +69,722 |
SFRU5 | 1,327,485 | 1,291,339 | +36,146 | Reds | +48,867 |
SFRZ5 | 1,326,273 | 1,342,563 | -16,290 | Greens | +45,513 |
SFRH6 | 1,091,519 | 1,049,999 | +41,520 | Blues | +2,819 |
SFRM6 | 894,208 | 862,852 | +31,356 |
|
|
SFRU6 | 847,985 | 835,151 | +12,834 |
|
|
SFRZ6 | 925,329 | 932,881 | -7,552 |
|
|
SFRH7 | 723,222 | 710,993 | +12,229 |
|
|
SFRM7 | 710,806 | 692,888 | +17,918 |
|
|
SFRU7 | 532,979 | 516,894 | +16,085 |
|
|
SFRZ7 | 476,762 | 462,754 | +14,008 |
|
|
SFRH8 | 330,044 | 332,542 | -2,498 |
|
|
SFRM8 | 250,177 | 248,494 | +1,683 |
|
|
SFRU8 | 201,107 | 199,537 | +1,570 |
|
|
SFRZ8 | 206,749 | 207,355 | -606 |
|
|
SFRH9 | 145,091 | 144,919 | +172 |
|
|
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
PIPELINE: Corporate Bond Roundup: SoftBank Grp, Korea Gas, Bank of Kuwait on Tap
- Date $MM Issuer (Priced *, Launch #)
- 07/02 $Benchmark Korea Gas 3Y SOFR+100a, 5Y +85a
- 07/02 $Benchmark National Bank of Kuwait PerpNC6 6.875%a
- 07/02 $Benchmark SoftBank Group 3.75Y 6.75%a, 5.5Y 7.125%a, 7 Y 7.500%a, 10Y 7.875%a (in addition to 3 Eur tranches) Note, SoftBank Corp issued $1B over 2 tranches on Monday.
- $1.75M Priced Tuesday, $13.5B/wk
US TSYS: Lower Ahead Of More Labor Data In Payrolls Build-Up
- Treasuries are lower across the curve, bear steepening as curves partly reverse yesterday’s bear flattening that was extended by a strong JOLTS report.
- Treasuries outperform EGBs but modestly underperform Gilts amidst fiscal concerns.
- Today sees labor market data in early focus with Challenger job cuts and ADP employment, the latter on a clear moderating trend in recent months, as a warm-up for tomorrow’s payrolls report (MNI Preview here).
- Cash yields are 1.2-4.7bp higher across the curve, with increases led by 30s.
- 5s30s has lifted to 95.5bps off a low of 93bps having pulled off last week's fresh ytd high of 103.3bps.
- TYU5 trades at 111-22 (-05+) on moderate cumulative volumes of 345k, having lifted a touch off session lows of 111-20+.
- A bull cycle remains in play although there was a sizeable reversal off yesterday’s high of 112-12+, which now forms initial resistance before 112-15+ (61.8% of Apr 7-11 sell-off). To the downside, firmer support is seen at 111-07+ (20-day EMA).
- Data: MBA mortgage applications (0700ET), Challenger job cuts Jun (0730ET), ADP employment Jun (0815ET)
- Fedspeak: Nothing scheduled
- Bill issuance: US Tsy $65B 17W bill auctions (1130ET)
ECB: Rehn Sees Real Chance for EUR to Become More Important
ECB'S REHN: RISKS TO INFLATION ARE TWO-SIDED" -bbg
REHN: CAN'T ALLOW INFLATION UNDERSHOOT TO SHIFT EXPECTATIONS
- Speaking on BBG TV - and mentions the EUR currency: "Exchange rate is not a policy target, and EUR appreciation has helped the ECB reach 2% inflation target. EUR has a real chance to become more important"
- Follows increased focus on the EUR rally this year - particularly after de Guindos said this week that EUR/USD at $1.20 is "acceptable", but a rally beyond that point would "complicate" things.
