US TSY FUTURES: Long Setting Seen Across The Curve On Wednesday
OI data points to net long setting across the curve during Wednesday’s rally, with a net ~$7.2mln of fresh DV01 equivalent positions added.
- The largest DV01 equivalent positioning adjustments came in TY & US futures.
- The lack of guidance changes surrounding Tsy coupon supply within the latest quarterly refunding announcement and softer-than-expected ISM services data built on a rally that started in pre-NY trade.
- A move lower in oil also factored in throughout the session.
| 05-Feb-25 | 04-Feb-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,108,280 | 4,103,501 | +4,779 | +173,621 |
FV | 6,407,583 | 6,398,488 | +9,095 | +377,352 |
TY | 4,913,873 | 4,877,800 | +36,073 | +2,321,658 |
UXY | 2,313,125 | 2,311,368 | +1,757 | +154,897 |
US | 1,974,101 | 1,953,717 | +20,384 | +2,599,979 |
WN | 1,799,515 | 1,791,486 | +8,029 | +1,560,597 |
|
| Total | +80,117 | +7,188,104 |
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EUROZONE DATA: ECB Survey Inflation Expectations Firm After Recent Softer Patch
- The ECB's Consumer Expectations Survey (CES) showed the 1-year ahead reading rose for the third consecutive month to 2.6% Y/Y in November (vs 2.5% in October) making it the highest since August 2024.
- The 3-years ahead expectation jumped up to 2.4% Y/Y from 2.1% in October - returning in-line with July 2024's high.
- The survey doesn't have pre-pandemic readings but this three-year measure remains above the 1.9-2.1% readings mostly seen through mid-2020 to early 2022 before jumping to a survey high of 3.1% in Oct 2022.
- Also of note, the mean expectation for economic growth over the year ahead deteriorated further to -1.3% in November (vs -1.1% prior).
- See the full press release here.
EUROPEAN INFLATION: December EZ HICP Y/Y In Line W/ Cons; Services Back at 4%
Eurozone December flash headline, on a rounded basis, came in in line with consensus at 2.4% Y/Y (2.4% cons; 2.2% prior). After the already-published national releases out (particularly Germany) there was a risk of a 2.5% print. However, Italy data came in below consensus at 1.4% Y/Y vs 1.6%Y/Y expected and this likely brought us back to the 2.4%Y/Y print.
- On a monthly basis, inflation came in at 0.4% (vs 0.4% cons; -0.3% prior).
- On an unrounded basis, headline HICP was 2.44% Y/Y and 0.36% M/M.
- Core HICP also printed in line with consensus, at 2.7% Y/Y (2.7% cons and prior; unrounded: 2.71% Y/Y, 0.45% M/M).
- Looking at the individual categories:
- Energy moved into positive territory for the first time since July, at +0.1% Y/Y (-2.0% Nov, -6.1% Sep) on the back of both a 0.6% sequential increase and base effects.
- Services inflation increased slightly, remaining sticky, at 4.0% Y/Y (3.9% prior). It has remained around the 4% level for over a year now.
- Non-energy industrial goods inflation decreased slightly, to 0.5% Y/Y, remaining overall soft (vs +0.6% Oct).
- Food, alcohol and tobacco inflation meanwhile remained unchanged at 2.7%.
- Looking at the national-level prints, headline HICP inflation remained stable or accelerated in all but 4 countries in December (Greece, Italy, Malta, Slovakia).
EUR: FX Exchange traded Option
EURUSD (7th Feb) 1.0100p sold at 0.0015 and 0.0014 in 2.5k.
