US TSY FUTURES: Long Setting In FV Through UXY Noted Over Last Two Sessions
Jan-22 10:53
Net long setting across TY, UXY and US futures dominated between Friday and Tuesday settlements, as markets remained sensitive to headlines surrounding Trump’s tariff plans.
- Net long cover in TU futures provided the only other net positioning move of note.
| 21-Jan-25 | 17-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,155,072 | 4,183,844 | -28,772 | -1,090,113 |
FV | 6,158,658 | 6,181,136 | -22,478 | -935,950 |
TY | 4,743,305 | 4,694,593 | +48,712 | +3,126,548 |
UXY | 2,270,826 | 2,266,718 | +4,108 | +359,336 |
US | 1,917,054 | 1,908,965 | +8,089 | +1,010,919 |
WN | 1,792,716 | 1,794,375 | -1,659 | -313,362 |
|
| Total | +8,000 | +2,157,378 |
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EGB FUNDING UPDATE: Greece 2025 Funding Plan
Dec-23 10:46
- The PDMA notes that Greece's cash reserves amount to E33bln (3 years of financing needs).
- Financing needs for 2025 total E15.283bln (E5.54bln from MT/LT redemptions, E4.75bln interest on debt, E5.29bln of early repayments (including T-bill stock reduction), E5.496bln from other cash requirements (RRF loans, capital increases etc). This is partially offset by a projected primary surplus of E5.793bln.
- Financing sources:
- GGB issuance: E8.000bln (down from E10.0bln in 2024 plan, E9.55bln executed).
- Other financing sources (NGEU, EIB, CEB, etc.): E3.027bln
- Proceeds from equity and investment fund shares E564mln
- Decrease in cash reserves: E3.692bln
GREECE T-BILL AUCTION RESULTS: 26-week GTBs
Dec-23 10:43
| Type | 26-week GTB |
| Maturity | Jun 27, 2025 |
| Amount | E500mln |
| Target | E500mln |
| Previous | E500mln |
| Avg yield | 2.610% |
| Previous | 2.460% |
| Bid-to-cover | 1.68x |
| Previous | 1.89x |
| Previous date | Nov 27, 2024 |
BONDS: Bunds Off Lows On Tariff Worry & Downtick In Oil, OATs & Gilts 1bp Wider
Dec-23 10:39
Core global FI markets off session lows, with oil ticking lower and short-term technical levels holding in German paper.
- Continued focus on potential U.S.-China trade tariffs likely factored into the recovery as well, given the readthrough for European growth.
- Core global FI yields still higher on the day.
- Bund futures last -18 at 133.96. German yields 1-2bp higher.
- Bears failed to push Bund yields meaningfully above Dec highs, with 3 tests ultimately failing (2.323% session high vs. prior Dec highs of 2.322%).
- OATs ~1bp wider vs. Bunds (and wider vs. all EGBs on the day), spread sticks to multi-week range, last 80bp. PM Bayrou’s cabinet is set to be named later today.
- Peripherals 0.5bp wider to Bunds, spreads back from session highs as European equities edge away from lows.
- Some attributed the early weakness in bonds to comments from ECB President Lagarde, although we don’t think she was particularly hawkish.
- ECB-dated OIS little changed on the day, showing just under 120bp of ’25 cuts.
- Gilts generally looking to core global FI peers for direction.
- Futures within Friday’s range, -25 at 92.68.
- Yields 2-4bp higher across the curve, steeper, last week’s highs untouched.
- 10-Year spread to Bunds 1bp wider at 223bp.
- BoE-dated OIS stable, showing just over 60bp of cuts through ’25.
- U.S. durable goods and consumer confidence data headlines the macro calendar today, little else of note scheduled.
- Proximity to Christmas will limit liquidity over the coming days.
