US TSY FUTURES: Light Bias Towards Cover On Thursday
OI data points to a mix of net long cover (TU), short cover (FV) and long setting (TY, UXY, US & WN), with the net curve-wide bias tilted towards cover as the curve twist flattened on Thursday.
- DV01 equivalent positioning adjustments were limited, with the only movement topping $1mln DV01 coning in FV futures.
| 02-Oct-25 | 01-Oct-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,582,098 | 4,590,342 | -8,244 | -325,386 |
FV | 6,685,276 | 6,720,618 | -35,342 | -1,550,150 |
TY | 5,478,885 | 5,466,706 | +12,179 | +825,764 |
UXY | 2,463,665 | 2,458,906 | +4,759 | +431,686 |
US | 1,859,021 | 1,858,677 | +344 | +49,053 |
WN | 2,058,795 | 2,058,341 | +454 | +85,186 |
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| Total | -25,850 | -483,847 |
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SOFR: Mix Of Short Setting & Long Cover Seen In Most Futures On Tuesday
OI data suggests that a mix of net short setting and long cover was seen in most SOFR futures on Tuesday, with net short setting dominating in the whites and greens, while net long cover was slightly more prominent in the reds.
| 02-Sep-25 | 01-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,166,953 | 1,160,164 | +6,789 | Whites | +62,253 |
SFRU5 | 1,454,004 | 1,443,674 | +10,330 | Reds | -9,943 |
SFRZ5 | 1,546,924 | 1,523,850 | +23,074 | Greens | +57,548 |
SFRH6 | 1,147,888 | 1,125,828 | +22,060 | Blues | +865 |
SFRM6 | 939,376 | 922,771 | +16,605 |
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SFRU6 | 890,464 | 903,283 | -12,819 |
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SFRZ6 | 962,548 | 961,579 | +969 |
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SFRH7 | 724,472 | 739,170 | -14,698 |
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SFRM7 | 817,855 | 798,278 | +19,577 |
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SFRU7 | 638,904 | 637,480 | +1,424 |
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SFRZ7 | 647,815 | 623,292 | +24,523 |
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SFRH8 | 414,910 | 402,886 | +12,024 |
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SFRM8 | 336,559 | 339,727 | -3,168 |
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SFRU8 | 221,803 | 218,161 | +3,642 |
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SFRZ8 | 246,786 | 245,819 | +967 |
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SFRH9 | 162,024 | 162,600 | -576 |
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GREECE T-BILL AUCTION RESULTS: [Correct] 52-week GTB Results
| Type | 52-week GTB |
| Maturity | Sep 4, 2026 |
| Amount | E500mln |
| Target | E500mln |
| Previous | E500mln |
| Avg yield | 1.97% |
| Previous | 1.84% |
| Bid-to-cover | 1.68x |
| Previous | 1.71x |
| Previous date | Jun 04, 2025 |
GREECE T-BILL AUCTION RESULTS: New 52-week GTB
| Type | 52-week GTB |
| Maturity | Sep 4, 2026 |
| Amount | E500mln |
| Target | E500mln |
| Previous | E500mln |
| Avg yield | 1.74% |
| Previous | 1.84% |
| Bid-to-cover | 1.84x |
| Previous | 1.71x |
| Previous date | Jun 04, 2025 |
