US TSY FUTURES: Long Cover Dominated On Thursday
OI data points to net long cover through US futures on Thursday, while the unchanged price status of WN futures come settlement makes it hard to provide any real inference when it comes to the modest uptick in OI in that contract.
- The most meaningful round of net long cover came via TY futures.
| 17-Jul-25 | 16-Jul-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,365,123 | 4,371,554 | -6,431 | -241,079 |
FV | 6,991,349 | 7,013,388 | -22,039 | -943,187 |
TY | 4,796,545 | 4,834,099 | -37,554 | -2,459,356 |
UXY | 2,394,008 | 2,405,455 | -11,447 | -988,595 |
US | 1,784,232 | 1,793,845 | -9,613 | -1,304,803 |
WN | 1,964,518 | 1,962,331 | +2,187 | +390,724 |
|
| Total | -84,897 | -5,546,296 |
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
US 10YR FUTURE TECHS: (U5) Resistance Is Intact For Now
- RES 4: 111-30 76.4% retracement of the May 1 - 22 downleg
- RES 3: 111-21 1.0% 10-dma envelope
- RES 2: 111-14+ High Jun 5 & 61.8% of the May 1 - 22 downleg
- RES 1: 111-13 High Jun 13
- PRICE: 110-28+ @ 11:01 BST Jun 18
- SUP 1: 110-10+/109-28 Low Jun 16 / Low Jun 6 / 11
- SUP 2: 109-12+ Low May 22 and the bear trigger
- SUP 3: 109-09+ Low Apr 11 and key support
- SUP 4: 108-25+ 0.764 proj of the Apr 7 - 11 - May 1 price swing
Key resistance in Treasury futures at 111-14+, a Fibonacci retracement and the Jun 5 high, remains intact for now. Clearance of this hurdle would be bullish and highlight a stronger reversal. This would open 111-30, a Fibonacci retracement. On the downside, initial support to watch lies at 109-28, the Jun 6 / 11 low. A breach of this level would be bearish and open the bear trigger at 109-12+, the May 22 low.
EU-BILL AUCTION RESULTS: 3/6/12-Month EU-Bills
| Type | 3-month EU-bill | 6-month EU-bill | 12-month EU-bill |
| Maturity | Sep 5, 2026 | Dec 5, 2025 | Jun 5, 2026 |
| Amount | E853mln | E862mln | E914mln |
| Target | E1.0bln | E1.0bln | E1.0bln |
| Previous | E847mln | E1.248bln | E1.217bln |
| Avg yield | 1.935% | 1.956% | 1.951% |
| Previous | 1.942% | 1.943% | 1.899% |
| Bid-to-cover | 1.44x | 1.51x | 1.72x |
| Previous | 3.18x | 2.09x | 2.22x |
| Previous date | Jun 04, 2025 | Jun 04, 2025 | Jun 04, 2025 |
SWAPS: Initial SLR Reform-Driven Widening In U.S. Spreads Fades
German ASWs vs. 3-month Euribor are 0.3-0.8bp wider on the day, with some modest outperformance in the long end.
- Spreads faded from session highs before decent demand at the latest 30-Year auction out of Germany provided fresh support.
- EUR swap spreads see similar moves.
- Increased hope for regulatory moves in EUR markets as U.S. SLR tweaks seemingly near may have driven the initial EUR swap spread widening, although such hope may be misplaced, factoring into the pullback from highs.
- Source reports pointing to an impending Fed meeting on the SLR (25 June) initially promoted U.S. swap spread widening after EUR swaps closed on Tuesday.
- However, U.S. spreads have since unwound that move, with long end spreads now below levels that prevailed ahead of the report, providing a limitation for any related EUR spread widening.
- The reversal in U.S. spreads came on the back of a BBG source report pointing to a reduction in the enhanced SLR, as opposed to a complete removal of Tsys from related calculations.
- Some analysts had pointed to potential for the latter, with market moves very much in line with typical buy the rumour sell the fact behaviour/some disappointment in the touted scale of the adjustment.
- Note that J.P.Morgan previously noted that they do not think SLR reform will “lead to a substantial increase in Treasury liquidity or bank buying of Tsys in the near term, as the largest U.S. banks are not particularly leverage constrained”.
