STIR: Mix Of Positioning Swings Seen In SOFR Futures On tuesday
OI data suggests that a mix of net long cover (dominant in SFRH5 though Z5), long setting and short cover was seen as the SOFR strip twist flattened on Tuesday.
- The net long cover in the very front end provided the most prominent positioning move.
| 18-Mar-25 | 17-Mar-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,067,843 | 1,065,122 | +2,721 | Whites | -52,129 |
SFRH5 | 1,188,797 | 1,238,894 | -50,097 | Reds | -32,017 |
SFRM5 | 1,273,025 | 1,275,442 | -2,417 | Greens | +28,759 |
SFRU5 | 922,686 | 925,022 | -2,336 | Blues | +1,310 |
SFRZ5 | 1,039,920 | 1,069,863 | -29,943 |
|
|
SFRH6 | 661,849 | 659,976 | +1,873 |
|
|
SFRM6 | 649,891 | 650,041 | -150 |
|
|
SFRU6 | 596,986 | 600,783 | -3,797 |
|
|
SFRZ6 | 797,357 | 786,673 | +10,684 |
|
|
SFRH7 | 511,041 | 504,246 | +6,795 |
|
|
SFRM7 | 473,500 | 469,010 | +4,490 |
|
|
SFRU7 | 306,379 | 299,589 | +6,790 |
|
|
SFRZ7 | 412,510 | 414,250 | -1,740 |
|
|
SFRH8 | 213,458 | 217,285 | -3,827 |
|
|
SFRM8 | 191,070 | 183,666 | +7,404 |
|
|
SFRU8 | 130,545 | 131,072 | -527 |
|
|
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
BONDS: BTP/Bund spread tests immediate support area
- The BTP/Bund spread is back at the 106.00bps level, 1.9bp tighter so far on the Day.
- The spread has found support multiple time at this level, back in December, January and also this Month.
- Technically, we could be having a falling wedge, would be bullish, but investors will be watching how it develops at these lower levels.
- A clear break through 106.00bps, opens to the Psychological 100.00, although better will be seen nearer the ~97.7bps area.
(Chart source: MNI/Bloomberg).
NETHERLANDS: 2.5/5.5-month DTCs
| Type | 2.5-month DTC | 5.5-month DTC |
| Maturity | Apr 29, 2025 | Jul 30, 2025 |
| Amount | E1bln | E1.56bln |
| Target | E1.0-2.0bln | E1.0-2.0bln |
| Previous | E1.92bln | E1.47bln |
| Avg yield | 2.452% | 2.355% |
| Previous | 2.613% | 2.320% |
| Bid-to-cover | 2.95x | 1.9x |
| Previous | 1.84x | 1.3x |
| Previous date | Jan 20, 2025 | Feb 03, 2025 |
GERMAN T-BILL AUCTION RESULTS: 12-Month Bubill
| Type | 12-month bubill |
| Maturity | Feb 18, 2026 |
| Allotted | E2.18bln |
| Previous | E1.905bln |
| Total sold | E3bln |
| Target | E3bln |
| Avg yield | 2.096% |
| Previous | 2.402% |
| Bid-to-cover | 1.63x |
| Previous | 3.22x |
| Bid-to-offer | 1.19x |
| Previous | 2.05x |
| Previous date | Jan 13, 2025 |
