STIR: Fed Rates Unchanged, FOMC Minutes Made Stale By Trade Developments
May-28 10:26
* Fed Funds implied rates are essentially unchanged on the day, still close to the most hawkish le...
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US TSY FUTURES: CFTC CoT Shows A Managers Extend Long, While Funds Add To Short
Apr-28 10:23
The latest CFTC CoT report pointed to an extension of the broad positioning amongst both asset managers (longs added in most contracts) and leveraged funds (shorts added in most contracts).
- Only TY futures saw breaks of the wider themes, with asset managers trimming longs in that contract, while leveraged funds reduced shorts.
- Asset managers added a net ~$27.1mn DV01 equivalent of net long exposure across the curve, while leveraged funds added a net ~$11.4mn DV01 equivalent of net short exposure across the curve.
- Asset managers remain net long across the curve, while leveraged funds remain net short in all contracts.
- Broader non-commercial net positioning saw an extension of shorts in all contracts outside of TY futures (see table below for greater details), where shorts were trimmed. The cohort added a net ~$13mn DV01 equivalent of fresh net shorts across the curve. The cohort remains net short across the curve.
Source: MNI - Market News/CFTC/Bloomberg
EGB SYNDICATION: Finland 10-year mandate
Apr-28 10:16
"The Republic of Finland has mandated BNP Paribas, Citi, Credit Agricole CIB, Goldman Sachs Bank Europe SE and Nordea to lead manage its forthcoming long 10-year EUR Benchmark transaction. The transaction will have a 15 September 2035 maturity and is expected to be launched in the near future subject to market conditions."
From market source.
- MNI colour: This was largely expected for late April and we pencil in a E4bln transaction size.
BELGIUM AUCTION RESULTS: OLOs / Green OLO
Apr-28 10:12
| 2.85% Oct-34 OLO | 3.10% Jun-35 OLO | 2.75% Apr-39 Green OLO | |
| ISIN | BE0000360694 | BE0000363722 | BE0000356650 |
| Amount | E970mln | E1.136bln | E1.11bln |
| Previous | E200mln | E7bln | E791mln |
| Avg yield | 2.991% | 3.076% | 3.389% |
| Previous | 3.319% | 3.141% | 3.074% |
| Bid-to-cover | 1.90x | 1.92x | 1.92x |
| Previous | 3.25x | 1.83x | |
| Avg Price | 98.843 | 100.207 | 92.976 |
| Low Price | 98.83 | 100.19 | 92.93 |
| Pre-auction mid | 98.603 | 99.946 | 92.670 |
| Prev avg price | 96.185 | 99.652 | 96.235 |
| Prev low price | 96.18 | 96.18 | |
| Prev mid-price | 96.149 | 95.935 | |
| Previous date | 07-Mar-25 | 07-Jan-25 | 23-Sep-24 |
