SOFR: Net Long Setting In The Whites Dominated On Wednesday
I data points to relatively meaningful net long setting in white SOFR futures on Wednesday, with net long setting also dominating in the greens and blues.
- Positioning in the reds went against the broader theme, with net short cover seen in 3 of the 4 contracts, biasing the net pack positioning move in that direction.
| 09-Jul-25 | 08-Jul-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,321,291 | 1,302,860 | +18,431 | Whites | +73,322 |
SFRU5 | 1,200,529 | 1,180,825 | +19,704 | Reds | -5,425 |
SFRZ5 | 1,300,814 | 1,282,502 | +18,312 | Greens | +9,380 |
SFRH6 | 999,445 | 982,570 | +16,875 | Blues | +19,438 |
SFRM6 | 843,423 | 849,186 | -5,763 |
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SFRU6 | 831,330 | 817,888 | +13,442 |
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SFRZ6 | 886,699 | 899,590 | -12,891 |
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SFRH7 | 719,950 | 720,163 | -213 |
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SFRM7 | 671,356 | 668,274 | +3,082 |
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SFRU7 | 471,018 | 471,345 | -327 |
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SFRZ7 | 418,566 | 414,134 | +4,432 |
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SFRH8 | 316,971 | 314,778 | +2,193 |
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SFRM8 | 232,456 | 230,689 | +1,767 |
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SFRU8 | 200,893 | 199,159 | +1,734 |
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SFRZ8 | 201,583 | 185,482 | +16,101 |
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SFRH9 | 140,918 | 141,082 | -164 |
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PIPELINE: Corporate Bond Roundup: Lloyds, ANZ & CAF on Tap
- Date $MM Issuer (Priced *, Launch #)
- 06/10 $500M CAF WNG Perp5.5 7.125%a
- 06/10 $Benchmark Lloyds 4NC3, 4NC3 SOFR, 11NC10
- 06/10 $Benchmark ANZ 3Y +60a, 3Y SOFR, 11NC10 +165a
- 06/10 $Benchmark Bahamas investor calls
- $3.05B Priced Monday
OPTIONS: Expiries for Jun10 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.1300-20(E1.5bln), $1.1370-75(E920mln), $1.1400-25(E2.1bln)
- USD/JPY: Y143.90-00($1.1bln), Y144.85-00($805mln)
- AUD/USD: $0.6420(A$771mln), $0.6460(A$529mln)
- USD/CAD: C$1.3695($869mln)
GILTS: Basis trade unwind
G U5 3.9k at 92.54.
- This is an unwind from the G U5 3.9k at 92.56 before the syndication earlier.
