US TSY FUTURES: Mix Of Short Setting & Short Cover Seen Wednesday
OI data points to a mix of net short setting (TU, FV & TY) and short cover (US & WN) during yesterday’s twist flattening of the curve.
- The net short setting in the front end/intermediates comfortably outweighed the net short cover further out the strip.
| 23-Apr-25 | 22-Apr-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,117,569 | 4,088,844 | +28,725 | +1,073,029 |
FV | 6,742,365 | 6,659,951 | +82,414 | +3,549,223 |
TY | 4,735,281 | 4,723,198 | +12,083 | +768,982 |
UXY | 2,249,506 | 2,246,047 | +3,459 | +304,479 |
US | 1,797,016 | 1,804,518 | -7,502 | -952,639 |
WN | 1,875,849 | 1,879,111 | -3,262 | -601,010 |
|
| Total | +115,917 | +4,142,064 |
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
EGB SYNDICATION: France: 0.95% Jul-43 OATei tap: Spread set
- Spread set: 1.80% OATei RY +10bps (Guidance was + 12bps area)
- Size: EUR Benchmark (MNI expects E3-4bln)
- Books in excess of E37bln (inc E2.8bln JLM interest)
- Settlement: 1 April 2025 (T+5)
- ISIN: FR001400QCA1
- Bookrunners: BNPP / CITI(B&D and DM) / CACIB / JPM / MS / SG
- Timing: Books to close at 10:15GMT / 11:15CET, allocations and pricing later today
EQUITIES: Large EU Bank put spread
SX7E 155/150ps, bought for 0.30 in 20k.
EGBS: Bund Weakness Extends; Issuance and Equity Uptick Weighing
Bund futures have narrowed the gap to initial support at 127.88, with no discernible headline trigger noted for the latest round of weakness. Impending Bobl supply alongside heavy corporate issuance will likely be weighing on EGBs this morning, alongside a recovery in European equity futures. Bunds are -32 ticks at 127.95 at typing.
- The German curve has bear steepened, with 2-year yields up 2.5bps and 30-year yields 4bps higher.
- The March German IFO survey provided a more positive outlook than yesterday’s PMIs, with the expectations component stronger-than-expected at 87.7 (vs 87.3 cons, 85.6 prior).
- The Bund-led nature of the selloff sees 10-year EGB spreads biased tighter. 10-year DSL supply was digested smoothly.
- ECB’s Kazimir and Muller did not deviate materially from past remarks, the latter adopting a hawkish tone around the case for future rate cuts.
- ECB’s Holzmann, Vujcic and Nagel are scheduled to speak later today.
