SOFR: Short Cover In White Pack Dominated Following Soft Retail Sales
OI data points to meaningful net short cover in the white pack of the SOFR futures strip as the softer-than-expected retail sales data triggered dovish repricing on Tuesday. Long setting was more prominent further out the strip.
| 10-Feb-26 | 09-Feb-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,348,752 | 1,351,972 | -3,220 | Whites | -130,177 |
SFRH6 | 1,302,214 | 1,349,589 | -47,375 | Reds | +854 |
SFRM6 | 1,403,277 | 1,436,485 | -33,208 | Greens | +11,781 |
SFRU6 | 1,374,369 | 1,420,743 | -46,374 | Blues | +4,518 |
SFRZ6 | 1,389,437 | 1,402,174 | -12,737 |
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SFRH7 | 970,542 | 962,171 | +8,371 |
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SFRM7 | 890,529 | 889,105 | +1,424 |
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SFRU7 | 842,345 | 838,549 | +3,796 |
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SFRZ7 | 918,479 | 913,067 | +5,412 |
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SFRH8 | 527,865 | 520,395 | +7,470 |
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SFRM8 | 441,973 | 441,540 | +433 |
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SFRU8 | 393,448 | 394,982 | -1,534 |
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SFRZ8 | 383,760 | 374,845 | +8,915 |
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SFRH9 | 222,680 | 216,867 | +5,813 |
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SFRM9 | 206,352 | 213,039 | -6,687 |
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SFRU9 | 173,695 | 177,218 | -3,523 |
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EQUITY OPTIONS: FTSE Put Spread
UKX (20th March) 9500/8000ps 1x3, bought for 21 in 3.5k (3.5k x 10.5k).
US TSY FUTURES: Net Short Cover In US Dominated On Friday
OI data points to a mix of net long cover in the front end and intermediates (TU, FV & TY) on Friday, while net long setting (UXY & WN) and short cover (US) was seen further out the curve.
- The unusually large round of net short cover in US futures essentially accounted for the entirety of the net DV01 shift on the curve.
| 09-Jan-26 | 08-Jan-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,473,362 | 4,513,106 | -39,744 | -1,522,261 |
FV | 6,682,973 | 6,688,217 | -5,244 | -228,166 |
TY | 5,564,316 | 5,575,384 | -11,068 | -734,583 |
UXY | 2,572,867 | 2,566,204 | +6,663 | +597,604 |
US | 1,811,165 | 1,888,444 | -77,279 | -10,677,639 |
WN | 2,094,322 | 2,085,072 | +9,250 | +1,690,160 |
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| Total | -117,422 | -10,874,885 |
EU-BOND SYNDICATION: New 3-year Jul-29 / 30-year 4.00% Oct-55 tap: Mandate
"The EU has mandated BNP Paribas, BofA Securities, Credit Agricole CIB, Nomura and Santander as Joint Lead Managers for its upcoming EUR Fixed Rate RegS Bearer dual tranche transaction, comprising a NEW Long 3-year Benchmark due 12th July 2029 and TAP of the outstanding 4% Oct-2055 (EU000A4EG039).
There will be no further group. The transaction will be launched tomorrow, subject to market conditions."
From market source
- A new 3-year EU-bond alongside a 30-yeer tap is the same syndication as in January 2025. Last year saw E6bln for the 3-year and E5bln for the 30-year tap. We expect the same size transaction this year.
