January 21, 2025 10:04 GMT
US TSY FUTURES: TU/TY Flattener Blocked
US TSY FUTURES
Latest block trades lodged at 09:39:07 London/04:39:07 NY:
- TUH5 5,597 lots blocked at 102-24+.
- TYH5 2,592 lots blocked at 108-25+.
- Would guess a curve flattener given the TY leg traded further through the offer than the TU leg and the 2s7s spread has flattened ~1bp over the last 30 minutes.
- 2s7s now ~12bp off the early '25 closing high, last 21.6bp.
- Looks slightly mis-weighted compared to the CMEs recommended 2:1 ratio, with a bias towards the TU leg.
Fig. 1: US. 2-/7-Year Tsy Yield Curve (bp)
Source: MNI - Market News/Bloomberg
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