STIR: Mix Of Net Long Setting & Short Cover In SOFR Futures On Wednesday
OI data points to a mix of net long setting and short cover as most SOFR futures finished higher on Wednesday.
- Net long setting in SFRU5 provided the most meaningful positioning swing.
| 05-Feb-25 | 04-Feb-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,072,973 | 1,073,967 | -994 | Whites | +26,916 |
SFRH5 | 1,224,885 | 1,226,282 | -1,397 | Reds | +10,339 |
SFRM5 | 1,087,471 | 1,081,157 | +6,314 | Greens | -2,932 |
SFRU5 | 802,477 | 779,484 | +22,993 | Blues | +12,157 |
SFRZ5 | 940,282 | 943,452 | -3,170 |
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SFRH6 | 683,221 | 672,753 | +10,468 |
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SFRM6 | 628,844 | 625,125 | +3,719 |
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SFRU6 | 589,447 | 590,125 | -678 |
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SFRZ6 | 679,558 | 677,002 | +2,556 |
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SFRH7 | 468,485 | 476,515 | -8,030 |
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SFRM7 | 413,239 | 411,850 | +1,389 |
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SFRU7 | 285,390 | 284,237 | +1,153 |
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SFRZ7 | 278,908 | 270,185 | +8,723 |
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SFRH8 | 219,354 | 216,082 | +3,272 |
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SFRM8 | 181,581 | 181,891 | -310 |
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SFRU8 | 120,346 | 119,874 | +472 |
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GERMAN AUCTION RESULTS: 2.00% Dec-26 Schatz
| 2.00% Dec-26 Schatz | Previous | |
| ISIN | DE000BU22072 | |
| Total sold | E4.5bln | E4.5bln |
| Allotted | E3.472bln | E3.607bln |
| Avg yield | 2.18% | 1.94% |
| Bid-to-offer | 1.81x | 1.84x |
| Bid-to-cover | 2.34x | 2.30x |
| Average Price | 99.652 | 100.117 |
| Low acc. Price | 99.650 | 100.115 |
| Pre-auction mid | 99.467 | 100.109 |
| Previous date | 03-Dec-24 |
EUROZONE DATA: ECB Survey Inflation Expectations Firm After Recent Softer Patch
- The ECB's Consumer Expectations Survey (CES) showed the 1-year ahead reading rose for the third consecutive month to 2.6% Y/Y in November (vs 2.5% in October) making it the highest since August 2024.
- The 3-years ahead expectation jumped up to 2.4% Y/Y from 2.1% in October - returning in-line with July 2024's high.
- The survey doesn't have pre-pandemic readings but this three-year measure remains above the 1.9-2.1% readings mostly seen through mid-2020 to early 2022 before jumping to a survey high of 3.1% in Oct 2022.
- Also of note, the mean expectation for economic growth over the year ahead deteriorated further to -1.3% in November (vs -1.1% prior).
- See the full press release here.
EUROPEAN INFLATION: December EZ HICP Y/Y In Line W/ Cons; Services Back at 4%
Eurozone December flash headline, on a rounded basis, came in in line with consensus at 2.4% Y/Y (2.4% cons; 2.2% prior). After the already-published national releases out (particularly Germany) there was a risk of a 2.5% print. However, Italy data came in below consensus at 1.4% Y/Y vs 1.6%Y/Y expected and this likely brought us back to the 2.4%Y/Y print.
- On a monthly basis, inflation came in at 0.4% (vs 0.4% cons; -0.3% prior).
- On an unrounded basis, headline HICP was 2.44% Y/Y and 0.36% M/M.
- Core HICP also printed in line with consensus, at 2.7% Y/Y (2.7% cons and prior; unrounded: 2.71% Y/Y, 0.45% M/M).
- Looking at the individual categories:
- Energy moved into positive territory for the first time since July, at +0.1% Y/Y (-2.0% Nov, -6.1% Sep) on the back of both a 0.6% sequential increase and base effects.
- Services inflation increased slightly, remaining sticky, at 4.0% Y/Y (3.9% prior). It has remained around the 4% level for over a year now.
- Non-energy industrial goods inflation decreased slightly, to 0.5% Y/Y, remaining overall soft (vs +0.6% Oct).
- Food, alcohol and tobacco inflation meanwhile remained unchanged at 2.7%.
- Looking at the national-level prints, headline HICP inflation remained stable or accelerated in all but 4 countries in December (Greece, Italy, Malta, Slovakia).
