OUTLOOK: Price Signal Summary - Bear Threat In Oil Futures Still Present

OI data points to net long setting dominating in the white, red and green SOFR futures packs on Friday, with only one round of modest net long cover (SFM5) and a single round of net short cover (SFRH7) interrupting the theme across the front 10 contracts.

• Net short cover was most prominent in the blues.

• Treasuries have pared gains as US desks filter in, after a mixed overnight session digesting the weekend US-EU trade deal that includes 15% tariffs on most EU goods. US-China talks in Stockholm meanwhile continue through Tuesday.
• Today sees Treasury announcements in focus, with double 2Y and 5Y issuance before Treasury’s borrowing estimates at 1500ET ahead of Wednesday’s full QRA.
• Cash yields are 0-0.5bp lower on the day.
• TYU5 trades at 110-31 (-00+) having eased off London highs of 111-03, with subdued cumulative volumes of 265k.
• Resistance remains at 111-14+ (Jul 22) whilst support is monitored, seen at 110-19+ (Jul 24 low) after which lies 110-08+ (Jul 14/16 low).  
• Data: Dallas Fed mfg Jul (1030ET)
• Treasury borrowing estimates (1500ET): It should show a substantial increase in Treasury’s estimate for marketable borrowing in the current quarter (Jul-Sep). We have pencilled in a $950B-$1T borrowing need in the quarter (on a financing need of $500-550B), up from the May refunding round’s $554B estimate. MNI preview: https://media.marketnews.com/MNI_US_Deep_Dive_Issuance_2025_07_Refunding_e2af296ce5.pdf
• Coupon issuance: US Tsy $69B 2Y Note - 91282CNP2 (1130ET), US Tsy $70B 5Y Note - 91282CNN7 (1300ET)
• Bill issuance: $73B 26W bill auctions (1130ET), $82B 13W bill auctions (1300ET)

OI data points to a mix of modest net long setting and short cover on Friday, as Tsy futures ticked higher. There was a very slight bias towards net long setting in curve-wide terms.