US TSY FUTURES: Mix Of Long Setting & Short Cover Seen Tuesday
May-07 10:12
OI data points to a mix of net long setting (FV, UXY, US & WN) and short cover (TU & TY) during Tuesday’s uptick in Tsy futures, with curve-wide positioning effectively neutral in DV01 equivalent terms.
| 06-May-25 | 05-May-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,037,146 | 4,072,824 | -35,678 | -1,309,381 |
FV | 6,912,263 | 6,909,348 | +2,915 | +124,907 |
TY | 4,956,466 | 4,960,841 | -4,375 | -281,996 |
UXY | 2,291,366 | 2,290,501 | +865 | +76,188 |
US | 1,794,426 | 1,784,087 | +10,339 | +1,313,740 |
WN | 1,888,341 | 1,887,370 | +971 | +178,666 |
|
| Total | -24,963 | +102,124 |
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SOFR: FIX - 07/04/2025
Apr-07 10:04
| SOFR FIX - Source BBG/CME | |
| 1M | 4.30079 |
| 3M | 4.20759 |
| 6M | 4.01277 |
| 12M | 3.70806 |
CHF: Swiss Franc Strength Persists, AUDCHF Extends 3-Day Slide to 8%
Apr-07 09:47
- CHF tops the G10 leaderboard on Monday, as the seismic hit to risk sentiment continues to bolster FX safe havens. This has once again been most notable in AUDCHF extending a three-day slide for the cross to 8.2%, with only the psychological 0.50 mark of note on the downside.
- Swissie strength has been broad based, with a near 1% advance against both the Euro and USD. EURCHF picked up downside momentum on a break back below 0.9500 Friday and now resides comfortably back below pre-German fiscal announcement levels. Weakness this morning took EURCHF to a fresh 2025 low below 0.9300, signalling scope for a more to firm double bottom support, at the 2024 lows around 0.9210.
- For USDCHF, price action last week to the pair below the US election lows, resulting in a resumption of this year’s downtrend. Note that moving average studies remain in a bear-mode position and this continues to highlight a dominant medium-term downtrend.
- Following the break of 0.8570 (76.4% retracement of the Sep ‘24 - Jan bull cycle), key medium targets include 0.8375 (Sep 6 '24 low) and 0.8333, the Dec 28 '23 low and the medium-term bear trigger.
- It is worth highlighting that Goldman Sachs have adjusted their 12m USDCHF forecast to 0.79 from 0.88.
USD: Goldman Sachs Significantly Revise US Dollar Forecasts Lower
Apr-07 09:44
- While the greenback received a moderate boost during the APAC session on the risk off flows, broad dollar indices have since turned lower, weigh by the likes of USDCHF and USDJPY, which have declined ~1% and ~0.5% respectively to start the week.
- Notably, Goldman Sachs have made significant downward revisions to their dollar forecasts over the next 12 months, as they cite the greenback’s exceptionalism as having been eroded. GS cite three major reasons for their decisive shift.
- First of all, the combination of an unnecessary trade war and other uncertainty raising policies is severely eroding consumer and business confidence. Secondly, the negative trends in US governance and institutions are eroding the exorbitant privilege long enjoyed by US assets. Finally, the implementation of the tariffs themselves is eroding the ability of investors to price these, underpinning the rising recession risks.
- GS have revised their EURUSD forecasts to 1.12, 1.15 and 1.20 in 3, 6 and 12 months (from 1.07, 1.05 and 1.02 previously) and revise their USDJPY forecasts to 138, 136, and 135 in 3, 6 and 12 months (from 150, 151 and 152 previously). GS believe this would bring the Dollar closer to measures of long-run fair value.
