SOFR: Net Long Cover In The White Pack Dominated In Futures On Thursday
OI data points to a mix of net short setting and long cover as SOFR futures finished lower on Thursday.
- The combination of the post-FOMC decision rhetoric from Chair Powell and yesterday’s U.S. data (with most of the focus on the fall in the jobless claims data recently impacted by fraudulent dealings in Texas) was enough to drive meaningful net long cover in most of the white contracts after a build up of longs in recent weeks.
- Net pack positioning swings were a little more balanced across the remainder of the strip.
| 18-Sep-25 | 17-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,468,209 | 1,473,356 | -5,147 | Whites | -92,682 |
SFRZ5 | 1,601,199 | 1,664,992 | -63,793 | Reds | -2,263 |
SFRH6 | 1,160,097 | 1,193,117 | -33,020 | Greens | -5,518 |
SFRM6 | 1,041,763 | 1,032,485 | +9,278 | Blues | +6,956 |
SFRU6 | 940,132 | 960,409 | -20,277 |
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SFRZ6 | 1,043,332 | 1,025,206 | +18,126 |
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SFRH7 | 756,723 | 753,399 | +3,324 |
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SFRM7 | 812,696 | 816,132 | -3,436 |
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SFRU7 | 657,669 | 670,627 | -12,958 |
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SFRZ7 | 709,127 | 698,830 | +10,297 |
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SFRH8 | 435,277 | 439,258 | -3,981 |
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SFRM8 | 357,091 | 355,967 | +1,124 |
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SFRU8 | 273,047 | 271,976 | +1,071 |
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SFRZ8 | 294,487 | 289,121 | +5,366 |
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SFRH9 | 189,131 | 186,762 | +2,369 |
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SFRM9 | 176,491 | 178,341 | -1,850 |
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GERMAN AUCTION RESULTS: Aug-54 Line Very Weak
Very weak Bund auction on the Aug-54 line with a 1.03x bid-to-cover and 0.79x bid-to-offer. The low price achieved at the auction was also lower than the pre-auction midprice.
- The 1.03x bid-to-cover is the lowest seen since 2018 in the German 30-year segment.
- The line is seeing some contained weakness, printing 85.440 vs 85.560 right before the auction.
- The Aug-46 line fared better, with solid demand metrics and the low price achieved at the auction above the pre-auction mid.
- Bund futures came off the highs past the auction.
EGB OPTIONS: Bund rolling Call
RXU5/RXV5 129.5c spread, bought the Oct for 20.5 in 5k.
EGB SYNDICATION: Finland New 7-year Apr-32 RFGB: Final terms
- Spread set earlier at MS + 29bp (guidance was MS + 31bps area)
- Size: E4bln (MNI expected E3bln but noted upsizing to E4bln was possible)
- Books in excess of E33bln (inc E2.25bln JLM interest)
- Maturity: 15 April 2032
- Coupon: Short first
- Settlement: 28 August 2025 (T+6)
- ISIN: FI4000591862
- Bookrunners: Barclays (DM/B&D) / Bofa Securities / Danske Bank / Deutsche Bank / J.P. Morgan
- Timing: Allocations and pricing to follow
