Sep/Dec Tsy Roll Update

Tsy Sep/Dec roll volumes gradually picking up ahead First notice date on Wednesday August 31. Current markets:

• TUU/TUZ 6,700 from 2.00 to 2.88, 2.12 last, 2% complete
• FVU/FVZ 35,400 from -3.0 to -2.5, -3.0 last, 4% complete
• TYU/TYZ 35,800 from -4.0 to -3.5, -3.75 last, 4% complete
• UXYU/UXYZ 1,800 from 20.75, <1% complete
• USU/USZ 1,200 from 17.0 to 17.5, 17.25 last, 1% complete
• WNU/WNZ 16,400 from 6.25 to 7.25, +6.75 last, 5% complete
• Reminder, Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.
• Deutsche Bank analysts note "asset manager positions continue to build in most contracts, with significant position sizes reached multi-year high in the 10-year and 30-year sectors. In the ultra 10-year contract, asset managers turned net long for the first time since early 2021. In the 2-year and 5-year sectors, asset manager positions are down modestly since the last roll period.
• For the 5-year contract, negative carry will incentivize shorts to make delivery as early as possible. Early delivery is also possible in the ultra-bond contract where a low conversion factor gives rise to the wild card option value. These are bearish for the roll."