US TSY FUTURES: Short Setting Most Prominent On Wednesday
OI data points to net short setting in the majority of Tsy futures during Wednesday’s downtick, most concentrated in TU & FV futures.
- Only modest net long cover in UXY & US futures interrupted the wider theme.
| 26-Mar-25 | 25-Mar-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,915,109 | 3,886,614 | +28,495 | +1,100,519 |
FV | 6,387,639 | 6,318,271 | +69,368 | +3,009,322 |
TY | 4,930,642 | 4,921,333 | +9,309 | +602,115 |
UXY | 2,276,102 | 2,286,122 | -10,020 | -883,573 |
US | 1,803,050 | 1,805,505 | -2,455 | -314,739 |
WN | 1,786,309 | 1,782,846 | +3,463 | +656,109 |
|
| Total | +98,160 | +4,169,753 |
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ECB: Kazaks Backs More Rate Cuts, But Trump Dependent
First comments on monetary policy from Kazaks since he was officially re-appointed as the Latvian CB Governor (all bbg):
- "*ECB'S KAZAKS: I THINK WE HAVE TO CONTINUE CUTTING RATES"
- "*ECB'S KAZAKS: WE'LL TAKE RATE CUTS STEP BY STEP"
- "*ECB'S KAZAKS: RATE PATH TO HINGE ON TRUMP POLICIES"
On 11 Feb, Kazaks spoke on the threat of US tariffs to LTV:
“Tariffs are used not only for economy, but also for political reasons,”….“And if there is any response, then we definitely do not need to escalate. The US is our strategic partner, so this cooperation must be maintained.”…"Negotiations always help to find less painful solutions".
AUSTRIA T-BILL AUCTION RESULTS: 2/3-Month RFTBs
| Type | 2-month ATB | 3-month ATB |
| Maturity | Apr 24, 2025 | May 30, 2025 |
| Allotted | E701mln | E1.696bln |
| Previous | E851mln | E1.916bln |
| Amount | E1bln | E2bln |
| Target | E1bln | E2bln |
| Previous | E1bln | E2bln |
| Avg yield | 2.430% | 2.310% |
| Previous | 2.525% | 2.790% |
| Bid-to-cover | 1.84x | 1.9x |
| Previous | 2.25x | 2.11x |
| Bid-to-offer | 1.29x | 1.61x |
| Previous | 1.91x | 2.02x |
| Previous date | Jan 28, 2025 | Nov 26, 2024 |
EURIBOR OPTIONS: Call spread vs Put
ERU5 98.0625/98.25cs vs 97.75p, bought the cs for 0.25 in 10k.
