OI data suggests long setting provided the most prominent positioning input during Thursday’s rally in SOFR futures, with only fairly isolated pockets of net short cover seen.
| 03-Apr-25 | 02-Apr-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,114,081 | 1,137,904 | -23,823 | Whites | +27,862 |
SFRM5 | 1,278,656 | 1,283,489 | -4,833 | Reds | +7,738 |
SFRU5 | 944,119 | 933,534 | +10,585 | Greens | +12,312 |
SFRZ5 | 1,132,979 | 1,087,046 | +45,933 | Blues | +8,772 |
SFRH6 | 643,803 | 652,663 | -8,860 |
|
|
SFRM6 | 684,605 | 681,944 | +2,661 |
|
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SFRU6 | 638,215 | 633,449 | +4,766 |
|
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SFRZ6 | 821,313 | 812,142 | +9,171 |
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SFRH7 | 511,744 | 513,942 | -2,198 |
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SFRM7 | 501,849 | 492,426 | +9,423 |
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SFRU7 | 318,096 | 318,437 | -341 |
|
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SFRZ7 | 437,576 | 432,148 | +5,428 |
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SFRH8 | 235,355 | 231,997 | +3,358 |
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SFRM8 | 191,407 | 191,931 | -524 |
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SFRU8 | 138,298 | 135,400 | +2,898 |
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SFRZ8 | 157,820 | 154,780 | +3,040 |
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German yields are sharply higher after incoming German Chancellor Merz announced a proposal to reform the debt brake and set up a E500bln infrastructure fund last night. Although today’s 30-year syndication has added extra pressure to the long-end, 10-year tenors underperform at typing (+19bps today), with Schatz yields up 13bps and 30-year yields up 17bps.
Last night’s proposed German fiscal loosening continues to promote Bund underperformance vs. peers.
Fig. 1: 10-Year Gilt/Bund Spread (bp)

Source: MNI - Market News/Bloomberg