SOFR: Mix Of Positioning Swings In Futures On Wednesday
OI data points to net short cover dominating in the white pack of the SOFR futures curve as contracts in that area of the strip ticked higher.
- Contracts further out the strip were little changed to lower on the day, with net short setting dominating in the reds, before net long cover came to the fore in the greens and blues.
| 17-Dec-25 | 16-Dec-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,307,409 | 1,307,491 | -82 | Whites | -140,000 |
SFRZ5 | 1,442,109 | 1,572,214 | -130,105 | Reds | +95,847 |
SFRH6 | 1,354,336 | 1,368,501 | -14,165 | Greens | -23,375 |
SFRM6 | 1,154,205 | 1,149,853 | +4,352 | Blues | -10,967 |
SFRU6 | 1,212,738 | 1,190,486 | +22,252 |
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SFRZ6 | 1,158,214 | 1,126,580 | +31,634 |
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SFRH7 | 883,940 | 851,528 | +32,412 |
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SFRM7 | 774,611 | 765,062 | +9,549 |
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SFRU7 | 822,232 | 820,380 | +1,852 |
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SFRZ7 | 838,433 | 842,026 | -3,593 |
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SFRH8 | 466,110 | 475,303 | -9,193 |
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SFRM8 | 404,216 | 416,657 | -12,441 |
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SFRU8 | 379,527 | 383,653 | -4,126 |
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SFRZ8 | 334,123 | 336,817 | -2,694 |
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SFRH9 | 201,156 | 207,285 | -6,129 |
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SFRM9 | 212,290 | 210,308 | +1,982 |
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LOOK AHEAD: Weekly ADP, Delayed Factory Orders & Trump-MBS
There won’t be import/export price or IP data today.
US Data/Speaker Calendar (prior, estimate). All times ET
- 11/18 0815 Weekly ADP
- 11/18 0830 NY Fed services Nov
- 11/18 0855 Weekly Redbook retail sales
- 11/18 1000 NAHB housing index Nov
- 11/18 1000 Factory orders Aug (post-shutdown catch-up)
- 11/18 1030 Fed Gov. Barr on bank supervision
- 11/18 1100 Richmond Fed Barkin on economic outlook
- 11/18 1145 Trump in bilateral meeting with Crown Prince of Saudi Arabia before lunch
- 11/18 1130 US Tsy to sell $95bn 6-week bills
- 11/18 1600 TIC flows Sep
- 11/18 1915 Trump dinner with Crown Prince of Saudi Arabia
- 11/18 1955 Dallas Fed Logan closing remarks
- 11/18-11/20 Federal budget balance potential release
Source: Bloomberg, WH Press Pool, MNI
US 10YR FUTURE TECHS: (Z5) Support Remains Exposed
- RES 4: 114-02 High Oct 17 and the bull trigger
- RES 3: 113-29 High Oct 22
- RES 2: 113-18+ High Oct 28
- RES 1: 113-04+ High Nov 14
- PRICE: 112-26+ @ 10:46 GMT Nov 18
- SUP 1: 112-10 100-dma
- SUP 2: 112-06 Low Sep 25 / Trendline drawn from the May 22 low
- SUP 3: 111-31 Low Sep 2
- SUP 4: 111-23 50.0% retracement of the May 22 - Oct 17 bull leg
Treasuries continue to trade below resistance at the 113-02 level, an area of congestion since Nov 5. A clear breach of this hurdle would be a bullish signal and suggest scope for a climb towards 113-18+, the Oct 28 high. A break would also cancel a short-term bearish theme. For bears, attention is on 112-10+, the 100-DMA and 112-06, the Sep 25 low. Trendline support also lies at 112-06.
BOE: ILTR: Smaller weekly takeup; still net positive to record high outstanding
- The BOE's ILTR operation saw weekly takeup of GBP1.280bln (the smallest since 2 September) with a net increase of GBP0.560bln (also the smallest increase since 2 September).
- Overall this puts the outstanding amount at record high of GBP61.479bln (up from GBP60.919bln last week).
- Takeup was expected to be lower at this operation as this was the first operation with the Bank Rate +3bp spread for Level A collateral (up from Bank Rate flat in all operations up to last week). As this was telegraphed in advance we think some of those who may have wanted to use the facility this week and in coming weeks may have looked to lock in the cheaper rate at previous operations).
