US TSY FUTURES: Long Setting Most Prominent On Tuesday
OI data points to net long setting across most contracts daring Tuesday’s rally, with modest net short cover in TY providing the only exception to the wider theme.
- Net long setting in US & WN provided the most meaningful DV01 equivalent positioning swings
| 01-Apr-25 | 31-Mar-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,919,492 | 3,914,677 | +4,815 | +185,170 |
FV | 6,520,775 | 6,486,976 | +33,799 | +1,475,981 |
TY | 4,890,597 | 4,899,400 | -8,803 | -569,479 |
UXY | 2,323,239 | 2,318,865 | +4,374 | +393,612 |
US | 1,844,360 | 1,824,491 | +19,869 | +2,633,213 |
WN | 1,814,377 | 1,804,151 | +10,226 | +2,003,337 |
|
| Total | +64,280 | +6,121,834 |
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EGBS: German Curve Bear Steepens On Increased Fiscal Spending Prospects
The German curve has bear steepened this morning, with 5s30s reaching a fresh multi-month high of 58.5bps (+3.6bps steeper today) on the prospect of increased German defence and infrastructure spending following an earlier Reuters source report.
- The short-end sell-off has been limited a touch by the softer-than-expected Eurozone flash February services inflation print (3.7% Y/Y vs 3.8% MNI consensus), even as headline and core metrics printed a touch above the rounded consensus.
- Bund futures are -78 ticks today at 132.41, having fallen ~50 ticks from session highs over the last 90 minutes. For now, a short-term bullish theme remains intact. Initial support is the Feb 24 low at 131.83, while the short-term bear trigger has been defined at 131.26, the Feb 19 low.
- Long-end German ASWs have tightened ~1.5bps on the prospect of increased domestic fiscal spending.
- The 10-year BTP/Bund spread is 2.5bps tighter at 111bps: A combination of Bund weakness, stronger European equities (led by defence stocks) and a smaller than expected domestic 2024 fiscal deficit.
- Focus turns to this afternoon’s US manufacturing survey data, alongside any last-minute developments ahead of the looming deadline for Canada/Mexico/China tariffs - due Tuesday at 0501GMT/0001ET.
EUR: FX Exchange traded Option
FX Exchange traded Option, covers the ECB and NFP, expiry Friday.
- EURUSD (7th Mar) 1.0450c, sold at 0.0042 in ~1k.
EQUITIES: A new 14yrs high for the EU Bank Index
- The bounce off the lows in Equity futures is helping the Bank Index {SX7E Index} through the February high.
- Next upside target is up to 197.88, this was the 2011 high.
(Chart source: MNI/Bloomberg).
