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BLOCK: Large Mar'24 2Y/10Y Ultra Bond Flattener

US TSY FUTURES
Flattener post at 1152:47ET
  • -24,007 TUH4 102-17.88, sell through 102-18.62 post time bid, DV01 $917,000 vs.
  • +9,846 UXYH4 115-29, post time bid, DV01 $901,800.
Ongoing flattener theme since US Tsy cut Q1 borrow est's from $816B to $760B yesterday. Tsy Borrowing Activity Committee (TBAC) refunding report to Tsy tomorrow at 0830ET. Note: late Monday flattener details:
  • Large flattener posted at 1612:49ET:
  • -21,742 FVH4 107-30, sell through 107-31.25 post time bid, DV01 $921,800 vs.
  • +4,432 WNH4 126-30, post time offer, DV01 $909,800

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