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2026-02-18 22:01:15
[SOFR Futures Fall Across the Board as Supply Pressures and Technical Signals Clash] ⑴ On Wednesday, overnight financing rate futures opened lower across the board, continuing the mild pullback following yesterday's early morning challenge of November highs. SOFR packs across different maturities fell by 0.77 to 2.5 basis points, with the green pack leading the decline. The market is facing multiple supply pressures: today's issuance of 4-month Treasury bills and $20 billion in Treasury bonds, coupled with the expected supply of investment-grade corporate bonds this week. ⑵ From a technical signal perspective, the moving average crossover model shows that the red, green, and blue packs (corresponding to 2027-2029 contracts) remain in a "buy" signal, currently 7.5 to 13 basis points above the 13-day moving average. The white pack (2026 contract) issues a "sell" signal. Strategically, it is recommended to establish long positions in forward contracts at the 13-day moving average while reducing short positions in the white pack. (3) US Treasury yields generally opened higher, with 2-year to 5-year yields rising by 1.2 to 1.4 basis points, with the 5-year yield leading the gains. The yield curve flattened, with the 2s-30s spread narrowing by 0.7 basis points today after narrowing by 4.7 basis points yesterday. Notably, the moving average crossover model for all maturities of US Treasury bonds has turned to a "buy" signal, with 5-year and longer maturities just turning from "sell" to "buy". (4) Regarding economic data, capacity utilization, industrial production, and housing starts data will be released today, with capacity utilization being particularly noteworthy due to its inflationary implications. Short-term Treasury yields showed mixed movements, with 3-month and 1-year yields rising slightly, while the 6-month yield remained unchanged.
