STIR: Mix Of Positioning Swings Seen In SOFR Futures On Thursday
Mar-28 10:22
OI data points to a mix of net long and short setting through most of the SOFR futures strip on Thursday, with net long cover seen in most of the blues.
- The most prominent positioning swings came via net long setting in SFRU6 & Z6.
| 27-Mar-25 | 26-Mar-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,178,354 | 1,177,944 | +410 | Whites | +19,233 |
SFRM5 | 1,289,384 | 1,282,116 | +7,268 | Reds | +41,319 |
SFRU5 | 960,566 | 953,748 | +6,818 | Greens | +10,050 |
SFRZ5 | 1,094,824 | 1,090,087 | +4,737 | Blues | -2,601 |
SFRH6 | 647,619 | 642,175 | +5,444 |
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SFRM6 | 670,682 | 662,347 | +8,335 |
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SFRU6 | 642,725 | 630,739 | +11,986 |
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SFRZ6 | 820,099 | 804,545 | +15,554 |
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SFRH7 | 502,827 | 498,915 | +3,912 |
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SFRM7 | 500,868 | 499,198 | +1,670 |
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SFRU7 | 323,489 | 322,147 | +1,342 |
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SFRZ7 | 425,941 | 422,815 | +3,126 |
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SFRH8 | 225,144 | 220,685 | +4,459 |
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SFRM8 | 190,340 | 192,144 | -1,804 |
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SFRU8 | 130,006 | 132,623 | -2,617 |
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SFRZ8 | 135,705 | 138,344 | -2,639 |
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FOREX: USD Holds APAC Demand, CAD Left Isolated
Feb-26 10:18
- The greenback trades stronger headed into the NY crossover, holding the bulk of a phase of dollar demand through the Asia-Pac session - although European trade so far has been considerably more subdued. EURUSD highs over the past two sessions at 1.0525 and 1.0528 have fallen just shy of key resistance, building the significance of 1.0533, the Jan 27 high and an important reversal trigger.
- In contrast with the general stability in G10 FX through the open, USD/CAD remains well within range of the overnight highs, keeping the pair on track to post four consecutive sessions of gains and five consecutive sessions of higher lows.
- The significantly calmer MXN market shows it's Canada that markets see as the risk here - with Sheinbaum's frequent public commentary and several meetings between ministers clearly soothing any tensions and showing through in currency risk premia. Resistance to watch remains 1.4380, the Feb 10 high. A move above this hurdle would highlight an early reversal signal and would be a key consideration on prolonged uncertainty.
- US New Home Sales data is the scheduled data highlight Wednesday, with appearances from Fed's Barkin & Bostic and BoE's Dhingra - ahead of a slew of appearances for the RBA, as Hauser, Jones and McPhee all testify in front of lawmakers. The G20 finance ministers meeting is set to kick off in South Africa, at which Trump's approach to both global military security and global trade is the key focus. Any signs of discord here are unlikely to be received well by the White House - meaning any communique will draw market attention.
FOREX: Key EURUSD Resistance Building ~1.0530
Feb-26 10:16
- EURUSD highs over the past two sessions at 1.0525 and 1.0528 have fallen just shy of a key resistance point for the pair, building the significance of 1.0533, the Jan 27 high and an important reversal trigger. Clearance of the 1.0533 mark would strengthen a bullish technical condition and pave the way for a climb towards 1.0630, the Dec 6 high.
- A large amount of option expiries between 1.0500-1.0550 might be helping to contain the price action this week, and it is also worth noting that Wednesday marks value-date month end. EURUSD selling is one of Deutsche Bank’s higher conviction views for this week from a flow perspective, which could also be limiting the scope for the pair to extend meaningfully higher.
- With that said, DB turned relatively more bullish on the single currency, recently adjusting their short position to neutral. Furthermore, Goldman Sachs economists have recently raised their European growth forecasts and see even more potential upside from a ceasefire deal—suggesting a positive impulse to EURUSD, which markets have already started to price.
- Taking the other side, ING continue to view this as the top of the trading range for the quarter. They think resistance in the 1.0530/50 area can hold and the return to the tariff story next week can drag EURUSD back to 1.04 and maybe lower.
ITALY AUCTION RESULTS: BOT Results
Feb-26 10:08
| Type | 2-month BOT | 5-month BOT |
| Maturity | May 14, 2025 | July 31, 2025 |
| Amount | E2bln | E2bln |
| Target | E2.0bln | E2.0bln |
| Previous | E1.5bln | E6.5bln |
| Avg yield | 2.448% | 2.376% |
| Previous | 3.041% | 2.536% |
| Bid-to-cover | 1.63x | 1.65x |
| Previous | 2.1x | 1.53x |
| Previous date | Nov 12, 2024 | Jan 29, 2025 |
