The Euribor and European fixed income markets witnessed notable shifts in open interest (OI) from June 7 to June 8, highlighting an increased trend towards short positions. Here’s a detailed look at the key changes across various contracts and the broader fixed income landscape.

---

Euribor Market Insights:

1. Euribor Whites:

• Increased Short Positions: The Euribor Whites saw a significant increase in open interest, driven largely by an uptick in short trades. This activity was concentrated primarily in the June and September contracts.
• Contract Specifics: The focus on these contracts suggests traders are positioning for potential rate hikes or unfavorable economic conditions in the near term.

1. Euribor Reds:

• Uniform Short Additions: The Euribor Reds experienced a more uniform increase in shorts across all contracts, with the notable exception of the March 2026 (Mar26) contract.
• Mar26 Contract: The Mar26 contract had modest changes, with some long positions being unwound, indicating less bearish sentiment compared to other contracts in this series.
• June 2025 Changes: The June 2025 (Jun25) contract witnessed the most significant shifts within the Reds, with an open interest change equivalent to 191k DV01 (7.6k contracts). This highlights a substantial move towards short positions in this mid-term contract.

1. Euribor Greens:

• Continued Short Builds: Consistent with the Whites and Reds, the Euribor Greens saw a substantial build in open interest, predominantly on the short side. The changes amounted to 296k DV01 (~12k contracts), reflecting bearish sentiment extending into longer maturities.
• Active Fly Spread: The most actively traded fly spread was the Mar26-Jun26-Sep26, with significant changes observed in the Jun26 contract. This contract saw the largest increase in shorts across the entire curve, with open interest changes equivalent to 322k DV01 (13k contracts).

European Fixed Income Market Dynamics:

1. Post-Rolls Activity:

• Yield Movements: Post-rolls activity saw yields predominantly rising, indicating increased selling pressure or reduced demand for fixed income securities.
• German 30-Year Yield: The German 30-year (30y) yield ended nearly 8 basis points (bp) higher, accompanied by the addition of fresh short positions. This suggests investor expectations of rising interest rates or worsening economic conditions over the long term.

1. Short-Term and Mid-Term Trends:

• 2-Year and 10-Year Yields: Similar trends were observed in the 2-year (2y) and 10-year (10y) segments, with significant open interest builds:
  • 2-Year: The 2y contract saw an open interest increase equivalent to 824k DV01 (40k contracts).
  • 10-Year: The 10y contract recorded an open interest build of 3.45m DV01 (32.6k contracts), and yields rose by 5.5bp. This indicates a broad expectation of rising rates in the medium term, although there were no changes noted in the shorter-term 2y yields.

The Euribor and European fixed income markets are reflecting a cautious and bearish outlook among investors. The increase in short positions across various Euribor contracts suggests expectations of higher rates or deteriorating economic conditions. This sentiment is mirrored in the European fixed income market, where rising yields and increased shorts across different maturities indicate a broader concern over future economic prospects.

Traders and investors should closely monitor these trends, as the positioning in Euribor and fixed income securities can provide critical insights into market expectations for interest rates and economic performance in the near to medium term.