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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)

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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)

Keep reading...Show less