US TSY FUTURES: Short Cover Outweighs Long Setting On Tuesday
OI data points to a mix of net short cover (TU, FV, TY & UXY) and long setting (US & WN) as Tsy futures rallied on Tuesday, with the former providing the dominant move in curve-wide DV01 terms.
- Net long setting in US futures provided the largest DV01 swing in individual contract terms.
| 10-Feb-26 | 09-Feb-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,659,442 | 4,703,183 | -43,741 | -1,608,789 |
FV | 6,834,310 | 6,882,157 | -47,847 | -2,053,316 |
TY | 5,420,663 | 5,468,616 | -47,953 | -3,164,507 |
UXY | 2,545,476 | 2,576,871 | -31,395 | -2,811,848 |
US | 1,738,174 | 1,705,015 | +33,159 | +4,631,970 |
WN | 2,187,762 | 2,179,540 | +8,222 | +1,504,697 |
|
| Total | -129,555 | -3,501,792 |
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EU-BOND SYNDICATION: New 3-year Jul-29 / 30-year 4.00% Oct-55 tap: Mandate
"The EU has mandated BNP Paribas, BofA Securities, Credit Agricole CIB, Nomura and Santander as Joint Lead Managers for its upcoming EUR Fixed Rate RegS Bearer dual tranche transaction, comprising a NEW Long 3-year Benchmark due 12th July 2029 and TAP of the outstanding 4% Oct-2055 (EU000A4EG039).
There will be no further group. The transaction will be launched tomorrow, subject to market conditions."
From market source
- A new 3-year EU-bond alongside a 30-yeer tap is the same syndication as in January 2025. Last year saw E6bln for the 3-year and E5bln for the 30-year tap. We expect the same size transaction this year.
OPTIONS: Larger FX Option Pipeline
- EUR/USD: Jan13 $1.1870(E1.0bln); Jan14 $1.1850(E1.4bln); Jan15 $1.1850(E3.3bln)
- USD/JPY: Jan14 Y150.00($1.8bln)
- GBP/USD: Jan15 $1.3450(Gbp1.3bln)
- AUD/USD: Jan13 $0.6690-10(A$1.6bln)
- USD/CAD: Jan15 C$1.3850($1.3bln)
FOREX: FX Option Expiry
Of note:
EURUSD 3.21bn at 1.1650/1.1700.
USDJPY 1.43bn at 158.00.
GBPUSD 1.26bn at 1.3450 (thu).
USDCAD 1.4bn at 1.3850 (thu).
EURUSD 1.93bn at 1.1700 (fri).
USDJPY 3.74bn at 160.00 (fri).
AUDUSD 1.98bn at 0.6600 and 2.51bn at 0.6800 (fri).
- EURUSD: 1.1650 (1.07bn), 1.1680 (622mln), 1.1690 (654mln), 1.1700 (864mln).
- USDJPY: 158.00 (1.43bn).
- USDCAD: 1.3840 (559mln).
