US TSY FUTURES: Net Long Setting In TY Futures Dominated On Thursda
Sep-12 10:07
OI data points to a mix of net long setting (TU, TY & US), long cover (FV) and short cover (UXY & WN) on Thursday
- Although the curve-wide net DV01 swing was tiled towards net long setting, that was solely down to TY futures, which saw over $5mln of fresh DV01 risk added.
| 11-Sep-25 | 10-Sep-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,491,488 | 4,483,696 | +7,792 | +316,292 |
FV | 6,839,914 | 6,841,762 | -1,848 | -82,259 |
TY | 5,368,865 | 5,288,243 | +80,622 | +5,531,899 |
UXY | 2,370,477 | 2,373,674 | -3,197 | -292,791 |
US | 1,819,081 | 1,815,828 | +3,253 | +467,224 |
WN | 2,016,635 | 2,026,485 | -9,850 | -1,866,488 |
|
| Total | +76,772 | +4,073,878 |
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FED FUNDS FUTURES: FFV5/X5 Spread Sold
Aug-13 10:00
FFV5/X5 ~2.9K given at -15.5.
US OUTLOOK/OPINION: Core PCE Estimates Ease To 0.25% M/M For July
Aug-13 09:56
- Yesterday’s CPI report has seen core PCE estimates for July center on 0.25% M/M (across eight analysts) vs a tentative 0.31% M/M prior to CPI (across five analysts).
- It implies a very similar pace to the 0.26% M/M in latest data for June and would see the Y/Y firm to 2.87% for its fastest since February.
- There’s a relatively narrow range of 0.22-0.28% considering PPI is still to come tomorrow.
- Wells Fargo: 0.22%
- JPM: 0.24%
- Nomura: 0.24% (vs 0.33 pre-CPI)
- NWM: 0.24%
- TDS: 0.25%
- UBS: 0.25% (vs 0.33 pre-CPI)
- GS: 0.26% (vs 0.31 pre-CPI)
- BofA: 0.28%
RIKSBANK: VIEW: Handelsbanken No Longer Expect August Cut
Aug-13 09:54
- “Our call for a Riksbank August rate cut has been challenged by high summer inflation prints. We believe this outweighs concerns over weak economic activity, leading us to expect the Riksbank to hold rates in August”.
- “Although some economic indicators have come in weaker than expected, this is unlikely to prompt immediate policy action in the current inflation environment. At its August meeting, the board also lacks updated staff forecasts, which may be needed to assess the outlook with enough confidence to look past the current inflation overshoot”.
- “A full report also offers additional scope to explain the rationale for a rate cut even as inflation remains elevated. Lastly, with the markets pricing a low probability – less than 10 percent – of an August rate cut, a pause could be in line with monetary policy and contribute to stability in turbulent times”.
- “We forecast that the Riksbank will deliver another rate cut in September to support economic activity and guard against inflation falling too far going forward”.
