BONDS: Room For Gilt Underperformance Vs. Bunds Narrows Into UK Budget
Nov-19 10:42
We highlighted the potential for tactical gilt underperformance vs. Bunds when the spread was tradin...
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SOFR: Net Long Cover Dominates On Friday
Oct-20 10:42
OI data suggests net long cover dominated in SOFR futures on Friday, with some pockets of net short setting seen in the Greens/Blues. SOFR futures moved away from session highs on a combination of easing US/China trade tensions (following less inflammatory rhetoric from President Trump) and cooling fears around regional bank risks.
- Long cover was seen in the Whites, Reds and Greens.
- The largest daily OI change came in the H6 future (-29k change).
| 17/10/2025 | 16/10/2025 | Daily OI Change | Daily OI Change In Packs | ||
| SFRU5 | 1,415,286 | 1,409,090 | +6,196 | Whites | -18,567 |
| SFRZ5 | 1,473,232 | 1,473,942 | -710 | Reds | -23,437 |
| SFRH6 | 1,101,412 | 1,130,309 | -28,897 | Greens | -8,159 |
| SFRM6 | 1,038,514 | 1,033,670 | +4,844 | Blues | +2,450 |
| SFRU6 | 1,006,656 | 1,009,081 | -2,425 | ||
| SFRZ6 | 1,010,904 | 1,023,925 | -13,021 | ||
| SFRH7 | 817,130 | 820,342 | -3,212 | ||
| SFRM7 | 778,786 | 783,565 | -4,779 | ||
| SFRU7 | 666,693 | 673,869 | -7,176 | ||
| SFRZ7 | 778,606 | 779,490 | -884 | ||
| SFRH8 | 414,585 | 417,352 | -2,767 | ||
| SFRM8 | 376,370 | 373,702 | +2,668 | ||
| SFRU8 | 307,682 | 308,228 | -546 | ||
| SFRZ8 | 326,534 | 328,657 | -2,123 | ||
| SFRH9 | 201,028 | 196,387 | +4,641 | ||
| SFRM9 | 175,721 | 175,243 | +478 |
OPTIONS: Larger FX Option Pipeline
Oct-20 10:41
- EUR/USD: Oct21 $1.1800(E1.0bln); Oct22 $1.1595-00(E1.1bln), $1.1810-30(E1.1bln); Oct23 $1.1575(E1.2bln), $1.1750-65(E2.3bln)
- AUD/USD: Oct23 $0.6585-00(A$1.1bln)
- USD/CAD: Oct22 C$1.3800($1.9bln)
US TSYS: Mild Pullback Doesn’t Alter Bullish TY Outlook
Oct-20 10:40
- Treasuries are mildly lower across the curve, slowly extending Friday’s more pronounced paring of regional bank risk-off that had started on Thursday.
- They marginally outperform EGBs where France leads losses after S&P’s unscheduled downgrade on Friday.
- President Trump over the weekend expressed optimism around US-China trade talks but with clear focus points on rare earths, fentanyl and soybeans before those talks.
- The session is likely to be driven by headlines/flows, with no data scheduled and the Fed in blackout. One area of attention will be Trump comments when meeting with the Australia Prime Minister late this morning.
- Cash yields are 0.2-1.2bp higher across the curve, within Thu-Fri ranges.
- TYZ5 trades at 113-12+ (-02+) off an earlier low of 113-10+, on thin cumulative volumes of 230k.
- The outlook remains bullish. It has pulled away from last week’s high of 114-02 (Oct 14 high) after clearing notable resistance levels, with next key resistance now seen at 114-10 (Apr 7 continuation). Support is seen at 113-00 (20-day EMA).
- No data scheduled and Fed now in media blackout
- Bill issuance: US Tsy $86B 13W & $77B 26W bill auctions (1130ET)
- Politics: Trump in bilateral meeting with Australia PM (1115ET) before bilateral lunch (1145ET)
