SOFR: Net Long Setting Dominated In Futures On Wednesday
OI data points to a mix of net long setting and short cover as SOFR futures ticked higher on Wednesday, with the former comfortably more prominent through the blues.
| 01-Oct-25 | 30-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,416,043 | 1,424,624 | -8,581 | Whites | +41,037 |
SFRZ5 | 1,493,411 | 1,477,018 | +16,393 | Reds | +20,400 |
SFRH6 | 1,196,380 | 1,177,102 | +19,278 | Greens | +5,861 |
SFRM6 | 1,036,112 | 1,022,165 | +13,947 | Blues | +5,071 |
SFRU6 | 940,514 | 940,778 | -264 |
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SFRZ6 | 1,034,198 | 1,023,176 | +11,022 |
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SFRH7 | 777,463 | 777,210 | +253 |
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SFRM7 | 791,164 | 781,775 | +9,389 |
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SFRU7 | 681,964 | 679,305 | +2,659 |
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SFRZ7 | 731,477 | 734,582 | -3,105 |
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SFRH8 | 416,493 | 414,198 | +2,295 |
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SFRM8 | 358,964 | 354,952 | +4,012 |
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SFRU8 | 287,775 | 284,319 | +3,456 |
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SFRZ8 | 303,301 | 299,666 | +3,635 |
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SFRH9 | 187,152 | 189,417 | -2,265 |
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SFRM9 | 172,374 | 172,129 | +245 |
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US 10YR FUTURE TECHS: (Z5) Pullback Appears Corrective
- RES 4: 113-06 2.236 proj of the Jul 15 - 22 - 28 price swing
- RES 3: 113-00 Round number resistance
- RES 2: 112-28+ 2.000 proj of the Jul 15 - 22 - 28 price swing
- RES 1: 112-20+ High Aug 28 / 29
- PRICE: 112-04+ @ 11:04 BST Sep 2
- SUP 1: 111-31 20-day EMA
- SUP 2: 111-18+ 50-day EMA
- SUP 3: 111-13+ Low Aug 18 and a key support
- SUP 4: 110-25 Low Aug 1
The trend outlook in Treasury futures is bullish and the latest pullback appears corrective. Last week’s gains delivered a print above 112-15+, the Aug 5 high and a bull trigger. A breach of this hurdle confirms a resumption of the bull cycle and paves the way for a climb towards the 113-00 handle. Moving average studies are in a bull-mode position, reinforcing a bull theme. First support to watch is 111-31, the 20-day EMA.
EGB SYNDICATION: Largest ever 7-year tranche; combined deal matches Jan size
- Putting that Italian syndication size into context - the E13bln tranche is the largest ever for a 7-year (although we have seen two E13bln and one E14bln tranches for 10/10/15 year syndications - with the two E13bln seen this year).
- The combined transaction size of E18bln matches the January size of E18bln (10-year and 20-year green).
