BONDS: Recent High In Gilt/Bund Spread Intact
The 10-Year gilt/Bund spread is ~1.5bp tighter today, trading at 213.7bp last. * April closing high...
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STIR: US Rates Modestly Pare Yesterday’s Latest Rally Ahead Of Data Deluge
- Fed Funds implied rates are 0-2bp higher on the day for 2025 meetings, in a similar pattern to yesterday’s overnight session with a modest paring of the previous day’s large rally.
- Cumulative cuts from 4.33% effective: 2.5bp for next week, 17bp Jun, 38.5bp Jul and 95.5bp Dec.
- The ~96bp of cuts is off yesterday’s low of 98bps that marked its lowest since Apr 11.
- Further out the curve, SOFR futures have given back little of yesterday’s gains: SFRU6 (where the terminal yield currently sits at 2.985%) is just 1 tick higher on the day at 97.015 (overnight high 97.045) having returned to pre-tariff pause levels on Monday.
- Today sees a heavy data docket, including ADP employment, Q1 GDP, Q1 ECI, MNI Chicago PMI and the monthly PCE report in chronological order.
STIR: Long Setting Seen Further Out The SOFR Strip On Tuesday
OI data points to a mix of net long setting and short cover during Tuesday’s uptick in SOFR futures, with the most meaningful positioning adjustment seemingly coming via net long setting across the greens and blues (only modest net short cover in SFRH8 broke the wider theme in those 2 packs).
| 29-Apr-25 | 28-Apr-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,103,977 | 1,102,450 | +1,527 | Whites | -13,375 |
SFRM5 | 1,269,822 | 1,270,258 | -436 | Reds | -14,350 |
SFRU5 | 981,404 | 990,585 | -9,181 | Greens | +41,686 |
SFRZ5 | 1,099,641 | 1,104,926 | -5,285 | Blues | +5,189 |
SFRH6 | 723,289 | 725,138 | -1,849 |
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SFRM6 | 689,143 | 703,967 | -14,824 |
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SFRU6 | 692,978 | 692,368 | +610 |
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SFRZ6 | 846,220 | 844,507 | +1,713 |
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SFRH7 | 625,220 | 614,938 | +10,282 |
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SFRM7 | 545,070 | 532,413 | +12,657 |
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SFRU7 | 359,039 | 355,449 | +3,590 |
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SFRZ7 | 397,852 | 382,695 | +15,157 |
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SFRH8 | 267,903 | 270,878 | -2,975 |
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SFRM8 | 188,797 | 185,924 | +2,873 |
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SFRU8 | 150,450 | 147,204 | +3,246 |
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SFRZ8 | 165,858 | 163,813 | +2,045 |
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US TSY FUTURES: Mix Of Long Setting & Short Cover Seen Tuesday
OI data points to a mix of net long setting (FV, UXY & US) and short cover (TU, TY & WN) during yesterday’s rally.
- The positioning swings largely offset in curve-wide terms, leaving a modest bias towards net long setting.
| 29-Apr-25 | 28-Apr-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,080,854 | 4,092,993 | -12,139 | -451,459 |
FV | 6,832,963 | 6,827,138 | +5,825 | +252,299 |
TY | 4,863,710 | 4,866,159 | -2,449 | -157,588 |
UXY | 2,284,980 | 2,271,750 | +13,230 | +1,182,868 |
US | 1,799,444 | 1,789,402 | +10,042 | +1,310,072 |
WN | 1,879,911 | 1,887,856 | -7,945 | -1,520,799 |
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| Total | +6,564 | +615,394 |
