STIR: Mix Of SOFR Short Setting & Long Cover On Wednesday
Apr-03 10:57
OI data points to a mix of short setting and long cover during yesterday’s downtick in SOFR futures.
- Today's initial reaction to yesterday’s tariff announcements has seen the strip bull fatten, with inflationary risks offsetting some of the growth-related worry in the very front end of the strip, but doing little further out.
| 02-Apr-25 | 01-Apr-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,138,184 | 1,156,698 | -18,514 | Whites | -34,140 |
SFRM5 | 1,283,227 | 1,288,149 | -4,922 | Reds | +35,457 |
SFRU5 | 933,957 | 955,070 | -21,113 | Greens | -1,441 |
SFRZ5 | 1,085,638 | 1,075,229 | +10,409 | Blues | +17,282 |
SFRH6 | 653,044 | 646,380 | +6,664 |
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SFRM6 | 681,945 | 689,069 | -7,124 |
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SFRU6 | 633,449 | 629,797 | +3,652 |
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SFRZ6 | 815,988 | 783,723 | +32,265 |
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SFRH7 | 513,942 | 517,426 | -3,484 |
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SFRM7 | 492,426 | 486,031 | +6,395 |
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SFRU7 | 318,385 | 323,673 | -5,288 |
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SFRZ7 | 432,177 | 431,241 | +936 |
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SFRH8 | 231,997 | 229,711 | +2,286 |
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SFRM8 | 191,931 | 191,932 | -1 |
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SFRU8 | 135,400 | 134,761 | +639 |
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SFRZ8 | 154,803 | 140,445 | +14,358 |
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OUTLOOK: Price Signal Summary - Support In EUROSTOXX50 Futures Remains Exposed
Mar-04 10:53
- In the equity space, a sharp sell-off in the S&P E-Minis contract on Monday, reinforces a short-term bearish threat. The contract traded to a fresh low and the move down exposes the next key support at 5809.00, the Jan 13 low. Clearance of this level would highlight a stronger reversal and confirm a double top pattern on the daily scale. Initial firm resistance to watch is 6029.12, the 50-day EMA. A break of this average is required to signal a bull reversal.
- The trend in the EUROSTOXX 50 futures contract remains bullish and Monday’s strong start to the week reinforces current conditions. However, the contract has pulled back from yesterday’s low and is trading sharply lower today. Key S/T support has been defined at 5394.00, the Feb 28 low. A break of this level would signal scope for a deeper retracement towards the 50-day EMA, at 5266.18. On the upside, a resumption of the trend would open 5600.00.
EGB SYNDICATION: DDA 10-year 2.50% Jul-35 DSL: Allocations
Mar-04 10:43
- Cut-off spread at +25.5 vs the 2.50% Feb-35 Bund (ISIN: DE000BU2Z049).
- (Initial spread guidance was +25.0 to +28.0bps then revised to +25.0 to +26.5bps then to final guidance of +25.5 to +26.0bps).
- Books: E29.455314bln
- Size: E5.999507bln (top of the E4-6bln range as we expected).
- ISIN: NL0015002F72
- Total share allocated to real money:83.73%
- Total share allocated to other: 16.27%
- Allocation at the cut-off spread:
- Share allocated to real money: 55%
- Share allocated to other: 54% (reported as 5.4% but assuming that is a typo by DSTA)
- Timing: Books closed at 10:10GMT / 11:10CET
FOREX: Tariff Tuesday Works Against USD, Rearmament Plans Boost EUR
Mar-04 10:40
- The EU's rush to rearm accelerated this morning, as European Commission President Von der Leyen outlined funding plans and instruments worth upwards of €800bln to help the EU rearm in the face of US withdrawal from Ukraine aid. The size of the plans came in above expectations, helping drive an early EUR rally and push EUR/USD back above $1.0500 and cleanly through the 100-dma at $1.0508.
- The stagflationary bias to sell USD has only picked up on the confirmation of tariffs against Canadian, Mexican and Chinese imports this morning. The news looked well-priced in as equities are somewhat stable this morning, however hold almost the entirety of yesterday's downdraft - particularly for the e-mini S&P. Haven currencies are outperforming, with both JPY and CHF firmer against all others.
- Weaker brent crude and natural gas prices have weighed on the NOK this morning, with EURNOK 0.5% higher on the session. The rally in EURNOK sees trendline resistance drawn from the August 5th 2024 high (11.7754 today) pierced, with the Jan 21 high at 11.8260 the next topside target. NOKSEK has seen a more modest 0.15% sell-off, with the SEK also under pressure amid today's pullback in European equities. However, yesterday's close below key multi-year support at 0.9500 was an important bearish development, with rallies short of the 20-day EMA at 0.9606 considered corrective.
- The data schedule for Tuesday trade is quiet, with no tier one releases set - this keeps focus on developments from the White House and in particular Trump's State of the Union address in front of a joint session of Congress for direction. Trump is expected to touch on all the major themes of his second term, from geopolitics to tariffs to tax policy and the debt limit.
