US TSY FUTURES: Mix Of Net Short Setting & Long Cover Seen Thursday
OI data points to a mix of net short setting (TU & UXY) and long cover (FV, TY, US & WN) as Tsy futures settled lower on Thursday, with the curve-wide bias tilted towards the latter.
| 18-Sep-25 | 17-Sep-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,499,634 | 4,491,786 | +7,848 | +315,494 |
FV | 6,746,113 | 6,751,031 | -4,918 | -217,407 |
TY | 5,395,370 | 5,400,033 | -4,663 | -317,347 |
UXY | 2,377,569 | 2,373,523 | +4,046 | +366,994 |
US | 1,826,037 | 1,830,969 | -4,932 | -697,920 |
WN | 2,018,449 | 2,026,897 | -8,448 | -1,567,628 |
|
| Total | -11,067 | -2,117,814 |
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EGB OPTIONS: Bund rolling Call
RXU5/RXV5 129.5c spread, bought the Oct for 20.5 in 5k.
EGB SYNDICATION: Finland New 7-year Apr-32 RFGB: Final terms
- Spread set earlier at MS + 29bp (guidance was MS + 31bps area)
- Size: E4bln (MNI expected E3bln but noted upsizing to E4bln was possible)
- Books in excess of E33bln (inc E2.25bln JLM interest)
- Maturity: 15 April 2032
- Coupon: Short first
- Settlement: 28 August 2025 (T+6)
- ISIN: FI4000591862
- Bookrunners: Barclays (DM/B&D) / Bofa Securities / Danske Bank / Deutsche Bank / J.P. Morgan
- Timing: Allocations and pricing to follow
EGBS: Bunds Stronger On Session, But Off Highs Post Auction
Bund futures moved off session highs following a weak 20/30-year auction, now +19 ticks at 129.26 (session highs were 129.35). A technical bear threat is still present for now, with a move above the 50-day EMA at 129.89 required to signal a reversal.
- German yields are 1-1.5bps lower, with the curve bull flattening.
- Alongside the Bund auction, Finland is launching a new 7-year RFGB via syndication. The ESM has also sent an RFP for a transaction, likely next week.
- 10-year EGB spreads to Bunds are biased slightly wider, with OATs underperforming. The BTP/Bund spread has inched back above 80bps.
- ECB President Lagarde suggested global uncertainty has been “alleviated, but certainly not eliminated”. Overall, she did little to push back on current market pricing (1.5bps of cuts through September, 12bps through December).
- ECB final headline and core July HICP confirmed flash estimates on a rounded basis, while services saw a small upward revision to 3.2% Y/Y.
