STIR: Long Setting Dominated In Most SOFR Futures On Wednesday
OI data points to net long setting dominating in most of white, red and green SOFR futures during Wednesday’s rally, with net short cover seemingly only apparent in SFRH5, M5 & Z7.
- A reminder that a soft round of ADP employment data, a stagflationary ISM services survey and weaker oil prices accounted for much of the rally.
| 04-Jun-25 | 03-Jun-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,069,423 | 1,070,120 | -697 | Whites | +14,328 |
SFRM5 | 1,407,828 | 1,428,377 | -20,549 | Reds | +79,664 |
SFRU5 | 1,130,027 | 1,121,423 | +8,604 | Greens | +22,868 |
SFRZ5 | 1,118,429 | 1,091,459 | +26,970 | Blues | -461 |
SFRH6 | 818,362 | 796,257 | +22,105 |
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SFRM6 | 784,612 | 756,922 | +27,690 |
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SFRU6 | 720,267 | 717,166 | +3,101 |
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SFRZ6 | 864,511 | 837,743 | +26,768 |
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SFRH7 | 685,120 | 671,828 | +13,292 |
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SFRM7 | 595,907 | 585,423 | +10,484 |
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SFRU7 | 416,220 | 414,903 | +1,317 |
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SFRZ7 | 409,931 | 412,156 | -2,225 |
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SFRH8 | 293,155 | 291,362 | +1,793 |
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SFRM8 | 214,337 | 214,547 | -210 |
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SFRU8 | 162,490 | 164,228 | -1,738 |
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SFRZ8 | 172,906 | 173,212 | -306 |
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EQUITIES: EU Bank Put Spread
SX7E (20th June) 180/145ps 1x2, bought for 4.05 in 8k.
EQUITIES: Credit Agricole Longer Dated Strangle
XCA (18/12/26) 10/20^^, bought for 0.85 in 4k.
EGB SYNDICATION: Germany 2.90% Aug-56 Bund Tap: Final terms
- Size: E4.5bln inc E0.5bln retained by issuer (MNI expects E4-6bln)
- Books in excess of E47bln (inc E3.595bln JLM interest)
- Spread set earlier: 2.50% Aug-54 Bund + 2.5bp (mid) (guidance was +3.25bp area)
- Settlement: May 13, 2025 (T+5)
- ISIN: DE000BU2D012
- Bookrunners: Barclays, Citi (B&D), CA-CIB, DZ Bank, GS, JPM. Remaining members of the Bund Issues Auction Group will be invited into the co-lead group
- Timing: Books closed at 10:30BST / 11:30CET. Allocations and pricing to follow.
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