STIR: Positions Added In Front End Of SOFR Strip On Thursday
The lack of net change in SFRH5 & M5 during Thursday ‘s flattening of the SOFR strip makes it very difficult to provide any real inference when it comes to net positioning swings in the very front end.
- What we can suggest is that just under ~130K of fresh positions were added across those contracts.
- A mix of net short setting and long cover was then seen through the remainder of the whites, net short cover then came to the fore in the reds and greens.
| 22-May-25 | 21-May-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,076,498 | 1,050,602 | +25,896 | Whites | +132,206 |
SFRM5 | 1,324,179 | 1,220,901 | +103,278 | Reds | -11,269 |
SFRU5 | 1,096,261 | 1,085,535 | +10,726 | Greens | -27,468 |
SFRZ5 | 1,071,137 | 1,078,831 | -7,694 | Blues | +950 |
SFRH6 | 763,461 | 762,008 | +1,453 |
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SFRM6 | 721,150 | 734,516 | -13,366 |
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SFRU6 | 758,414 | 742,521 | +15,893 |
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SFRZ6 | 870,549 | 885,798 | -15,249 |
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SFRH7 | 698,212 | 727,206 | -28,994 |
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SFRM7 | 592,082 | 596,466 | -4,384 |
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SFRU7 | 394,769 | 392,347 | +2,422 |
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SFRZ7 | 412,927 | 409,439 | +3,488 |
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SFRH8 | 271,642 | 267,599 | +4,043 |
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SFRM8 | 199,241 | 197,420 | +1,821 |
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SFRU8 | 153,039 | 156,621 | -3,582 |
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SFRZ8 | 168,938 | 170,270 | -1,332 |
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GERMANY: Policy Transmission Not Strengthened By Higher Debt Expenses - BUBA
The Bundesbank's April monthly report concludes that higher private sector debt expenses following interest hikes in the post-Covid inflation cycle have not strengthened ECB monetary policy transmission. Key excerpts below:
- "Significant interest rate hikes led to increases in interest-dependent variables such as interest expenses and debt servicing in particular. Nevertheless, the debt situation of the non-financial private sector did not deteriorate fundamentally overall. Increased nominal income in particular had a relieving effect."
- "The current and expected development of the debt situation of the non-financial private sector does not indicate any comprehensive balance sheet restrictions. The results therefore suggest that the transmission of monetary policy has not been strengthened by debt and is unlikely to be strengthened in the near future."
OUTLOOK: Price Signal Summary - EUROSTOXX 50 Futures Correction Extends
- In the equity space, a reversal higher in S&P E-Minis on Apr 9 highlighted the start of a correction. The trend condition has been oversold following recent weakness and gains have allowed this to unwind. The contract remains below important resistance points and the trend condition is bearish. A resumption of weakness would refocus attention on 4832.00, the Apr 7 low and bear trigger. Initial resistance to watch is 5425.57 (pierced), the 20-day EMA, ahead of 5528.75, the Apr 10 high and a bull trigger.
- EUROSTOXX 50 futures have recovered from Tuesday’s low. Recent gains highlight a corrective cycle and the rally marks an unwinding of a recent oversold trend condition. Resistance at the 20-day EMA, at 4971.53, has been breached. The next level to watch is 5105.00, the 50-day EMA. The trend structure remains bearish. Key support and the bear trigger has been defined at 4444.00, the Apr 7 low. First support is at 4812.00, the Apr 16 low.
EGBS: Bund Futures Off Lows, But Buoyant Euro Equities Still Weighing
The recovery in risk appetite following yesterday’s constructive comments from Bessent and Trump leaves Bund futures -31 ticks versus yesterday’s settlement levels at 131.64. The weaker-than-expected Eurozone April flash services PMIs (led by Germany and France) may have aided the recovery from session lows of 131.44.
- Initial resistance and the bull trigger remains at 132.03, the April 7 high. Meanwhile, the April 17 low at 130.87 provides support.
- The Eurozone-wide services PMI was 49.7 (vs 50.5 cons, 51.0 prior). While the miss was expected given the weaker-than-expected French and German data earlier this morning, the smaller deviation from consensus (compared to FR/GE) suggests the EZ ex-France and Germany was a little better than expected.
- The German curve has bear flattened, with Schatz yields up 6bps.
- Today’s E4bln 2.50% Feb-35 Bund auction saw very soft results, but the market impact was limited.
- Spreads have been set for today’s triple tranche Austrian syndicated tap.
- 10-year EGB spreads to Bunds are tighter owing to the risk backdrop. The BTP/Bund spread is down 3bps to ~113.5bps.
- Portugal will ask the EU to use a fiscal rule escape clause to allow for increased defence spending.
- Eurex will launch a joint EU bond future on September 10 2025.
- The remainder of today’s regional calendar includes ECB-speak from Knot, Villeroy, Lane and Cipollone.
