STIR: Mix Of Long Setting & Short Cover Seen In SOFR Futures On Wednesday
OI data points to a mix of net long setting and short cover across much of the SOFR futures strip on Wednesday.
| 26-Feb-25 | 25-Feb-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ4 | 1,033,204 | 1,034,591 | -1,387 | Whites | -13,755 |
SFRH5 | 1,278,646 | 1,278,807 | -161 | Reds | +26,366 |
SFRM5 | 1,152,216 | 1,169,077 | -16,861 | Greens | -14,364 |
SFRU5 | 860,212 | 855,558 | +4,654 | Blues | +1,642 |
SFRZ5 | 1,010,838 | 987,112 | +23,726 |
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SFRH6 | 630,920 | 621,038 | +9,882 |
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SFRM6 | 620,366 | 625,162 | -4,796 |
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SFRU6 | 557,303 | 559,749 | -2,446 |
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SFRZ6 | 756,002 | 788,975 | -32,973 |
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SFRH7 | 427,953 | 433,240 | -5,287 |
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SFRM7 | 451,166 | 438,037 | +13,129 |
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SFRU7 | 316,464 | 305,697 | +10,767 |
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SFRZ7 | 351,196 | 350,400 | +796 |
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SFRH8 | 227,031 | 224,922 | +2,109 |
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SFRM8 | 187,399 | 187,924 | -525 |
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SFRU8 | 131,883 | 132,621 | -738 |
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US TSY FUTURES: Net Long Setting Dominated Again On Monday
OI data points to another round of meaningful net long setting on Monday, as markets reacted to DeepSeek’s AI advances.
- Net long setting was seen in FV, TY, US & WN futures, with modest net short cover seen in both TU and UXY futures.
- The curve-wide net long setting wasn’t quite as pronounced as what was seen on Friday, totaling ~$5.2mln in DV01 equivalent terms vs. the ~$8.0mln seen on Friday.
- Over $3.0mln DV01 equivalent of fresh net longs were added in TY futures.
| 27-Jan-25 | 24-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,198,793 | 4,218,276 | -19,483 | -732,950 |
FV | 6,274,716 | 6,252,332 | +22,384 | +930,055 |
TY | 4,866,435 | 4,818,730 | +47,705 | +3,055,982 |
UXY | 2,273,537 | 2,281,049 | -7,512 | -655,873 |
US | 1,962,582 | 1,951,182 | +11,400 | +1,426,026 |
WN | 1,789,168 | 1,782,665 | +6,503 | +1,224,840 |
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| Total | +60,997 | +5,248,080 |
EGB OPTIONS: Bund Put spread
RXH5 131.50/130.50ps 1x2, bought the 1 for 1.5 in ~1.95k.
EGB SYNDICATION: Austria dual-tranche: Final terms
New 10-year Feb-35 RAGB
- Spread set earlier at MS+48bps (guidance was MS+51bps area)
- Size: E5bln inc E250mln retained (MNI expected E4.5-5.0bln including E250-500mln retention)
- Books in excess of E35bln (inc E3.15bln JLM interest)
- Maturity: 20 February 2035
- Coupon: Long first
- ISIN: AT0000A3HU25
1.85% May-49 Green RAGB tap
- Spread set at MS+78bps (guidance was MS+80bps area)
- Size: E1.5bln inc E250mln retained (MNI expects E1.0-2.0bln)
- Books in excess of E15bln (inc E800mln JLM interest)
- ISIN: AT0000A2Y8G4
For both:
- JLMs: BofA Securities, Deutsche Bank, Erste Group, J.P. Morgan, Morgan Stanley and Raiffeisen Bank International
- Timing: Books closed, allocations and pricing later today.
From market source
