US TSY FUTURES: BLOCK: Jun'25 30Y

"The REPUBLIC OF AUSTRIA has mandated Barclays, Citi, Deutsche Bank, Goldman Sachs Bank Europe SE, J.P. Morgan and Raiffeisen Bank International to lead manage its upcoming triple-tranche issuance consisting of a tap of its RAGB 2.5% Oct 2029 (ISIN AT0000A3EPP2), a tap of its RAGB 3.2% Jul 2039 (ISIN AT0000A3D3Q8) and a tap of its RAGB 3.15% Oct 2053 (ISIN AT0000A33SK7)."
"The transaction is expected to be launched and priced in the near future, subject to market conditions."
From market source

• We had noted the possibility of this in April in our EGB Issuance, Redemption and Cash Flow Matrix last week.
• We look for a total transaction size of E5-7bln.

• In the FI space, Bund futures continue to trade at their recent highs. A bull cycle remains in play and the pullback between Apr 7 - 9 is considered corrective. A fresh S/T cycle high on Apr 7 reinforces a bullish theme. The contract has recently cleared 131.14, 76.4% of the Feb 28 - Mar 11 bear leg. This opens 132.56 next, the Feb 28 high. Firm support lies at 130.14, the 20-day EMA.
• A sharp sell-off in Gilt futures between Apr 7 - 9 continues to highlight a bearish threat and recent gains are considered corrective - for now. The contract has recently breached 90.55, the Mar 27 low. Clearance of this level confirms a full reversal of the Mar 27 - Apr 7 rally. Sights are on the 90.00 handle next, briefly pierced on Apr 9. A clear break of it would open key support at 88.96, the Jan 13 low (cont). Initial resistance is 92.63, Apr 8 high.

Yesterday’s concurrent selloff in the US dollar, US Treasuries and US stocks was the seventh such session this year, and the largest one-day fall in “US assets” since March 2009 (see below for more). The selloffs were driven by US President Trump’s continued threats against Fed Chair Powell’s position and lingering tariff-related stagflation concerns. 

• Although markets are generally conditioned to expect the dollar and USTs to rally when stocks fall, and soften when stocks, the top left chart indicates that situations where US assets move in the same direction are not uncommon. What is more notable is that this year’s simultaneous selloffs have been of a greater average magnitude than most of the last 40 years (save for 1987, 1990 and 2008) – see the top right chart.
• Crudely summing yesterday’s 0.96% fall in the DXY, 2.36% fall in the S&P and 0.32% fall in US Treasury futures gives the largest one-day fall in “US assets” since March 2009.
• While yesterday’s moves may have been exacerbated by lower liquidity given the EU/UK public holidays, it is still suggestive of a broad-based shunning of US assets amongst investors, a trend that will continue to be monitored in the coming weeks/months.
• In US Treasuries, term premium estimates (as indicated by the Adrian Crump and Moench model) have lurched higher since Trump’s April 2 reciprocal tariff announcement, given heightened policy uncertainty and more recent questions around the future of the Fed’s independence.
• Although the DXY is over 10% off its January highs at typing, Citi’s US real effective exchange rate index is still 3.4% above its five-year average, and 7.2% above its ten-year average. As such, there remains room for a more significant dollar correction if current dynamics extend.
• The clear beneficiaries of a diversification away from US assets as reserves/safe havens have been the likes of gold and the Swiss Franc, with the former reaching fresh all-time highs this morning and USDCHF extending 10-year lows yesterday.