STIR: Mix Of Long Setting & Short Cover Seen In SOFR Futures On Wednesday
Feb-27 11:24
OI data points to a mix of net long setting and short cover across much of the SOFR futures strip on...
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US TSY FUTURES: Net Long Setting Dominated Again On Monday
Jan-28 11:22
OI data points to another round of meaningful net long setting on Monday, as markets reacted to DeepSeek’s AI advances.
- Net long setting was seen in FV, TY, US & WN futures, with modest net short cover seen in both TU and UXY futures.
- The curve-wide net long setting wasn’t quite as pronounced as what was seen on Friday, totaling ~$5.2mln in DV01 equivalent terms vs. the ~$8.0mln seen on Friday.
- Over $3.0mln DV01 equivalent of fresh net longs were added in TY futures.
| 27-Jan-25 | 24-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,198,793 | 4,218,276 | -19,483 | -732,950 |
FV | 6,274,716 | 6,252,332 | +22,384 | +930,055 |
TY | 4,866,435 | 4,818,730 | +47,705 | +3,055,982 |
UXY | 2,273,537 | 2,281,049 | -7,512 | -655,873 |
US | 1,962,582 | 1,951,182 | +11,400 | +1,426,026 |
WN | 1,789,168 | 1,782,665 | +6,503 | +1,224,840 |
|
| Total | +60,997 | +5,248,080 |
EGB OPTIONS: Bund Put spread
Jan-28 11:20
RXH5 131.50/130.50ps 1x2, bought the 1 for 1.5 in ~1.95k.
EGB SYNDICATION: Austria dual-tranche: Final terms
Jan-28 11:19
New 10-year Feb-35 RAGB
- Spread set earlier at MS+48bps (guidance was MS+51bps area)
- Size: E5bln inc E250mln retained (MNI expected E4.5-5.0bln including E250-500mln retention)
- Books in excess of E35bln (inc E3.15bln JLM interest)
- Maturity: 20 February 2035
- Coupon: Long first
- ISIN: AT0000A3HU25
1.85% May-49 Green RAGB tap
- Spread set at MS+78bps (guidance was MS+80bps area)
- Size: E1.5bln inc E250mln retained (MNI expects E1.0-2.0bln)
- Books in excess of E15bln (inc E800mln JLM interest)
- ISIN: AT0000A2Y8G4
For both:
- JLMs: BofA Securities, Deutsche Bank, Erste Group, J.P. Morgan, Morgan Stanley and Raiffeisen Bank International
- Timing: Books closed, allocations and pricing later today.
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