EU CREDIT SUPPLY: Sveafastigheter (SVEFAS): 5yr Final Terms €300m +185
(SVEFAS: NR/NR/BBB- pos) * Final: 300m 5yr +185 * Books >1.65bn - market sources * IPT: Exp 300m 5yr...
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SONIA OPTIONS: Call Spread buyer
SFIH6 96.55/96.65cs, bought for 1.5 in 7.6k.
EURIBOR: OI Data Suggests Net Short Setting Dominated Yesterday
OI data suggests net short setting drove yesterday's sharp bear steepening in the Euribor strip, though pockets of indicative long cover were seen across expiries. A hawkish-leaning interview with ECB Executive Board member Schnabel set the tone for EUR STIRs yesterday morning, allowing last week's bearish momentum to extend through the session.
- At the pack level, indicative net short setting dominated in the whites, reds and greens, while net long cover was more prominent in the blues. Red pack OI has increased by over 100k since last Monday.
- The largest daily OI change yesterday was seen in the ERM6 future (+36k). Meanwhile, ERU6 has indicatively seen three consecutive sessions of net long cover (-45k OI in total).
| 08/12/2025 | 05/12/2025 | Daily OI Change | Daily OI Change In Packs | ||
| ERZ5 | 700,697 | 714,732 | -14,035 | Whites | +3,671 |
| ERH6 | 697,310 | 690,118 | +7,192 | Reds | +46,969 |
| ERM6 | 785,368 | 748,884 | +36,484 | Greens | +4,681 |
| ERU6 | 549,660 | 575,630 | -25,970 | Blues | -2,435 |
| ERZ6 | 577,193 | 564,102 | +13,091 | ||
| ERH7 | 398,512 | 396,271 | +2,241 | ||
| ERM7 | 348,692 | 326,420 | +22,272 | ||
| ERU7 | 278,027 | 268,662 | +9,365 | ||
| ERZ7 | 310,174 | 315,771 | -5,597 | ||
| ERH8 | 170,442 | 169,956 | +486 | ||
| ERM8 | 175,747 | 163,760 | +11,987 | ||
| ERU8 | 149,839 | 152,034 | -2,195 | ||
| ERZ8 | 93,890 | 90,970 | +2,920 | ||
| ERH9 | 51,875 | 54,198 | -2,323 | ||
| ERM9 | 54,916 | 55,249 | -333 | ||
| ERU9 | 59,425 | 62,124 | -2,699 |
US TSYS: Twist Flatter; Labor Data & 10Y Supply Ahead As Fed Looms Large
Treasuries are mildly twist flatter in moves that broadly consolidate yesterday’s continued sell-off on global factors. Tomorrow’s FOMC decision looms large, expected to show signs of a divided committee, whilst today sees further labor data updates plus 10Y supply.
- Cash yields range from 0.6bp lower (30s) to 0.6bp higher (3s).
- TYH6 trades at 112-09+ (+ 01+) on reasonable overnight volumes of 315k, keeping within yesterday’s range which saw a fresh low of 112-02+.
- Having breached the bear trigger at 112-07 (Nov 5 high), sights are set for a move towards 112-00 (Fibo projection) after which would open 111-19. To the upside, initial firm resistance is seen at 112-28 (20-day EMA).
- Data: Weekly ADP (0815ET), Redbook retail sales (0855ET), JOLTS Sep & Oct (1000ET), KC Fed LCMI (1000ET), Conference Board Leading index Sep (1000ET)
- Coupon issuance: US Tsy $39B 10Y Note re-open - 91282CPJ4 (1300ET). Last month’s 10Y tailed by 0.6bp and saw mixed peripheral statistics including its lowest bid-to-cover since August.
- Bill issuance: US Tsy $75B 6W bill auction (1130ET)
- Politics: Trump attends VP Vance’s Christmas reception (1515ET), Trump delivers remarks on economy (1810ET)
