STIR: Mix Of Positioning Swings Seen Across SOFR Futures On Wednesday
OI data points to a mix of positioning swings during the twist flattening of the SOFR futures strip on Wednesday.
- A mix of net short setting and long cover was seen across the front 5 contracts, before net long setting and short cover were seen further out.
| 07-May-25 | 06-May-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,076,531 | 1,081,653 | -5,122 | Whites | -17,347 |
SFRM5 | 1,234,292 | 1,249,662 | -15,370 | Reds | +6,658 |
SFRU5 | 1,005,202 | 1,008,902 | -3,700 | Greens | +14,930 |
SFRZ5 | 1,081,026 | 1,074,181 | +6,845 | Blues | +8,584 |
SFRH6 | 748,397 | 740,428 | +7,969 |
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SFRM6 | 736,416 | 720,590 | +15,826 |
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SFRU6 | 717,989 | 718,726 | -737 |
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SFRZ6 | 838,864 | 855,264 | -16,400 |
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SFRH7 | 665,569 | 665,749 | -180 |
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SFRM7 | 564,282 | 555,148 | +9,134 |
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SFRU7 | 365,160 | 364,756 | +404 |
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SFRZ7 | 402,225 | 396,653 | +5,572 |
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SFRH8 | 279,209 | 275,121 | +4,088 |
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SFRM8 | 192,582 | 190,833 | +1,749 |
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SFRU8 | 151,742 | 149,633 | +2,109 |
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SFRZ8 | 159,189 | 158,551 | +638 |
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EGBS: Bunds Weaker On Signs Of Risk Stabilisation, Underperforming Gilts
Today’s 77 tick range in Bund futures pales in comparison to the prior two sessions, with risk sentiment showing signs of stabilising amid a lack of further escalation in trade tensions – for now. Bund futures are -43 ticks at 129.93, after finding support at the 50-day EMA of 129.83. A move to fresh intraday lows (below 129.81) would expose firm support at 129.15, the 20-day EMA.
- German paper underperforms Gilts, particularly at the short-end, following dovish commentary from ex-BOE officials earlier today.
- The 2-year Gilt/Schatz spread is 11.5bps tighter at typing, with the 10-year spread 4.5bps narrower at 196bps.
- The 2.50% Feb-35 Green Bund auction saw somewhat weaker bid-to-cover and bid-to-offer ratios than the previous re-opening in January, and may have weighed on futures in the run-up to the 1030BST bidding deadline.
- Conventional supply from Austria and the Netherlands has also passed this morning, while the spread has been set at today’s dual tranche EU-bond syndication.
- ECB’s Simkus offered support for a 25bp cut in April (which is essentially fully priced in OIS), while Stournaras provided familiar dovish rhetoric. De Guindos’ tone was less committal, but he nonetheless considers the latest US tariffs as a “paradigm shift”.
- 10-year EGB spreads to Bunds have tightened on the back of the stabilisation in risk, but markets remain highly sensitive to US tariff developments.
BELGIUM T-BILL AUCTION RESULTS: TCs
| Maturity | Jul 10, 2025 | Apr 9, 2026 |
| Amount | E865mln | E1.645bln |
| Target | E2.2-2.6bln | Shared |
| Previous | E800mln | E872mln |
| Avg yield | 2.178% | 2.035% |
| Previous | 2.221% | 2.146% |
| Bid-to-cover | 1.86x | 1.42x |
| Previous | 2.35x | 2.18x |
| Previous date | Apr 01, 2025 | Apr 01, 2025 |
EQUITIES: Estoxx put spread
SX5E (20th June) 4150/3925ps, bought for 29.3 and 29.4 in 20k.
