US TSY FUTURES: Mix Of Net Long & Short Setting Seen Thursday
Mar-28 10:09
OI data points to a mix of net long (TU) and short setting (FV, TY, UXY, US & WN) during Thursday’s twist steepening of the curve, with the most prominent positioning swing coming via the net short setting seen in FV futures.
| 27-Mar-25 | 26-Mar-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,940,317 | 3,915,097 | +25,220 | +971,119 |
FV | 6,437,288 | 6,387,729 | +49,559 | +2,152,120 |
TY | 4,953,016 | 4,930,027 | +22,989 | +1,491,076 |
UXY | 2,288,739 | 2,276,134 | +12,605 | +1,116,775 |
US | 1,806,141 | 1,803,067 | +3,074 | +397,757 |
WN | 1,793,133 | 1,786,234 | +6,899 | +1,324,564 |
|
| Total | +120,346 | +7,453,413 |
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ITALY AUCTION RESULTS: BOT Results
Feb-26 10:08
| Type | 2-month BOT | 5-month BOT |
| Maturity | May 14, 2025 | July 31, 2025 |
| Amount | E2bln | E2bln |
| Target | E2.0bln | E2.0bln |
| Previous | E1.5bln | E6.5bln |
| Avg yield | 2.448% | 2.376% |
| Previous | 3.041% | 2.536% |
| Bid-to-cover | 1.63x | 1.65x |
| Previous | 2.1x | 1.53x |
| Previous date | Nov 12, 2024 | Jan 29, 2025 |
OPTIONS: Larger FX Option Pipeline
Feb-26 10:07
- EUR/USD: Feb27 $1.0440-50(E1.2bln), $1.0470-75(E1.4bln); Feb28 $1.0396-00(E2.8bln), $1.0550(E1.6bln); Mar03 $1.0470-75(E1.0bln)
- USD/JPY: Feb27 Y150.00($1.8bln), Y151.00-05($1.2bln); Feb28 Y150.00-10($1.0bln)
- AUD/USD: Feb28 $0.6500-10(A$1.2bln)
- USD/CAD: Feb27 C$1.4200-10($1.1bln), C$1.4350($1.0bln); Feb28 C$1.4290-00($1.5bln); Mar03 C$1.4300($1.6bln)
EURIBOR: EURIBOR FIX - 26/02/25
Feb-26 10:03
EURIBOR FIX - EMMI/Bloomberg.
- EUR001W 2.6410 -0.0080
- EUR001M 2.5500 -0.0150
- EUR003M 2.4990 -0.0310
- EUR006M 2.3890 -0.0180
- EUR012M 2.4000 -0.0170
