US TSY FUTURES: Mix Of Long Cover & Short Setting On Tuesday
OI data points to a mix of net long cover (FV, TY, UXY & WN) and short setting (TU & US) during yesterday’s sell off in futures, with the former more prominent in DV01 equivalent terms.
| 11-Feb-25 | 10-Feb-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,110,195 | 4,097,523 | +12,672 | +466,076 |
FV | 6,363,633 | 6,400,028 | -36,395 | -1,497,290 |
TY | 4,874,641 | 4,885,820 | -11,179 | -712,661 |
UXY | 2,257,981 | 2,272,622 | -14,641 | -1,276,988 |
US | 2,014,776 | 2,004,320 | +10,456 | +1,313,692 |
WN | 1,794,911 | 1,798,699 | -3,788 | -718,735 |
|
| Total | -42,875 | -2,425,907 |
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EU-BOND SYNDICATION: New 3-year / 3.375% Oct-54 tap: Mandate
"The EU has mandated Barclays, BNP Paribas, J.P. Morgan, LBBW and NatWest Markets as Joint Lead Managers for its upcoming EUR Fixed Rate RegS Bearer dual tranche transaction comprising a new long 3-year benchmark line due 4th July 2028 and an increase of EU 3.375% benchmark due 5th October 2054 (EU000A3K4EY2). No further group. The transaction will be launched tomorrow, subject to market conditions. "
MNI comments
- The new 3-year maturing 4 July 2028 was one of the three issues highlighted as likely to launch in H1. We pencil in a tranche size of E5-7bln (we have not seen an EU-bond tranche larger than that since March 2022 - but there is a possibility we go a bit higher with the large H1 EU funding plan).
- The 3.375% Oct-54 tap we pencil in between E4-6bln (possibly partly depending upon the size of the new 3-year).
- We look for a combined E9-13bln total transaction size.
US: SOFR FIX - 13/01/25
SOFR - Bloomberg.
- 1mth 4.30624 0.0037
- 3mth 4.30198 0.01497
- 6mth 4.27941 0.03483
- 12mth 4.24478 0.06645
EUROSTOXX50 TECHS: (H5) Retracement Mode
- RES 4: 5097.00 High Oct 14
- RES 3: 5080.00 High Oct 15
- RES 2: 5068.13 0.764 proj of the Nov 21 - Dec 9 - 20 price swing
- RES 1: 5054.00 High Jul 8
- PRICE: 4950.00 @ 10:47 GMT Jan 13
- SUP 1: 4935.71 50-day EMA
- SUP 2: 4829.00 Low Dec 20 and key short-term support
- SUP 3: 4800.87 76.4% retracement of the Nov 21 - Dec 9 bull cycle
- SUP 4: 4775.00 Low Nov 29
A bull cycle in the Eurostoxx 50 futures contract remains intact and for now, the latest pullback appears corrective. Initial support to watch is 4935.71, the 50-day EMA. A clear break of this EMA would undermine a bullish theme and signal scope for a deeper retracement. For bulls, resistance at 5040.00, Dec 9 high, has recently been pierced. A clear break of it would resume the bull cycle that started on Nov 21 and open 5068.13, a Fibonacci projection.
