US TSYS: 2Y Yields Testing 4% Again Ahead Of PPI and Claims
* Treasuries are touching session lows across the board, dragged by EGBs with Italian/Greek supply...
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EQUITIES: EU Bank put ladder
SX7E (19th Dec) 130/120/110p ladder, bought for -0.40 (receive) in 6k.
US TSY FUTURES: Modest Positioning Swings On Monday
OI data points to a mix of net long setting (TU & FV), net long cover (TY) and net short setting (UXY, US & WN) during Monday's twist steepening of the futures curve.
- The positioning swings were relatively limited with only TY topping $1mln in DV01 equivalent terms.
| 10-Feb-25 | 07-Feb-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,098,848 | 4,097,189 | +1,659 | +61,118 |
FV | 6,396,674 | 6,392,250 | +4,424 | +182,357 |
TY | 4,887,581 | 4,911,751 | -24,170 | -1,544,221 |
UXY | 2,272,576 | 2,266,406 | +6,170 | +539,443 |
US | 2,004,248 | 2,001,799 | +2,449 | +309,039 |
WN | 1,798,515 | 1,794,493 | +4,022 | +767,197 |
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| Total | -5,446 | +314,932 |
GILT SYNDICATION: Record size, record book, but which bucket will be reduced?
Putting that syndication size in context. It's the largest ever at GBP13bln.
- Previous largest was GBP12.0bln in May 2020 (10-year). And larger than the GBP11.0bln sold in June 2024 (the previous 10-year).
- It's also a record book size for a gilt syndication - the record being the GBP119.3bln for the 15-year syndication last month.
- Question is now... There's only GBP1.2bln in the unallocated bucket. So where is the other GBP1.8bln coming from? Smaller medium-dated bucket could easily accommodate GBP1.0bln or so.
- But will there be more taken from elsewhere or will this mean a much smaller auction next month of the gilt issued today?
