STIR: Short Setting Dominated In Front Of SOFR Strip On Tuesday
OI data suggests that net short setting dominated through the SOFR reds on Tuesday (5/8 contracts in that area saw relatively heavy net shorts added), before a mix of net long setting and short cover came to the fore in SSFRZ7 through SFRZ8
| 10-Jun-25 | 09-Jun-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,067,243 | 1,068,096 | -853 | Whites | +27,563 |
SFRM5 | 1,432,476 | 1,431,730 | +746 | Reds | +117,169 |
SFRU5 | 1,169,347 | 1,153,856 | +15,491 | Greens | -3,970 |
SFRZ5 | 1,144,414 | 1,132,235 | +12,179 | Blues | +1,014 |
SFRH6 | 914,573 | 867,533 | +47,040 |
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SFRM6 | 862,434 | 827,191 | +35,243 |
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SFRU6 | 787,983 | 750,132 | +37,851 |
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SFRZ6 | 861,686 | 864,651 | -2,965 |
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SFRH7 | 660,039 | 676,524 | -16,485 |
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SFRM7 | 600,624 | 590,189 | +10,435 |
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SFRU7 | 426,208 | 422,239 | +3,969 |
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SFRZ7 | 404,689 | 406,578 | -1,889 |
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SFRH8 | 305,079 | 302,377 | +2,702 |
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SFRM8 | 218,742 | 219,274 | -532 |
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SFRU8 | 169,586 | 168,860 | +726 |
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SFRZ8 | 169,072 | 170,954 | -1,882 |
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US TSY FUTURES: Mix Of Positioning Swings Seen Friday, Exposure Added In Wings
OI data points to a mix of net long setting (TU), short cover (FV & TY) and short setting (US & WN) as the curve twist steepened on Friday.
- The addition of exposure in the wings outweighed any cover seen in the belly/intermediates.
| 09-May-25 | 08-May-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,094,163 | 4,070,176 | +23,987 | +870,564 |
FV | 6,852,906 | 6,870,988 | -18,082 | -765,878 |
TY | 4,941,162 | 4,964,960 | -23,798 | -1,494,543 |
UXY | 2,287,901 | 2,282,109 | +5,792 | +503,858 |
US | 1,816,658 | 1,802,151 | +14,507 | +1,820,132 |
WN | 1,886,352 | 1,881,713 | +4,639 | +841,348 |
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| Total | +7,045 | +1,775,481 |
FOREX: Easing Trade Tensions Weigh on Franc, USDCHF Back Above Key Level
- In similar vein to the Yen moves, the Swiss Franc is seeing pronounced losses today following the moderation in China-U.S. trade tensions. USDCHF rallied as much as 1.85% with topside momentum underpinned by a break back above the key 0.8333 level, the 2023 low and prior breakdown point.
- The move substantially narrowed the gap to an important resistance for USDCHF, which stands at 0.8485, the 50-day EMA. A break of this average would signal scope for a recovery towards 0.8578, the April 10 high, while the ‘liberation day’ breakdown level remains much further out at 0.8758.
- While not the primary driver of the CHF turnaround, it is worth highlighting the most recent comments from SNB President Schlegel on Franc strength will be providing an additional impulse to the cross/CHF recovery. As such, EURCHF finds itself towards the top end of its 0.9300/0.9400 range seen across May so far.
- While US Treasury Secretary Bessent confirmed today that Switzerland (alongside the UK) has moved to the "front of the queue" for a trade deal with the US following similar rhetoric from the Swiss government Friday, President Trump has announced a major executive order limiting US healthcare spending to be signed during US morning hours; policies hitting the Swiss pharmaceutical sector could further weigh on the CHF throughout Monday’s session.
EU-BOND SYNDICATION: New 20-year Oct-45 mandate
- "The EU has mandated Barclays, Credit Agricole CIB, LBBW, Morgan Stanley and Nordea as Joint Lead Managers for its upcoming EUR Fixed Rate RegS Bearer new 20-year benchmark due 12th October 2045. No further group."
- "The transaction will be launched tomorrow, subject to market conditions. Joint Lead Managers will be paid a fee in connection to the transaction.”
- This is in line with MNI's expectations and we pencil in a wide E5-9bln range for the transaction size.
