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US TSY FUTURES: TU Blocked, 4.00% Yield Level Probed

US TSY FUTURES
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Latest block trade lodged at 10:04:59 London/05:04:59 NY:

  • 5K lots blocked at 103-12.875, looks like a buyer based on bid/offer at the time, but the contract has moved to fresh session lows in the time since. DV01 ~$190K.
  • Participant may be leaning on the 4.00% yield level in 2s, with highs of 4.0014% seen since the block, as core global FI markets remain under pressure.
  • This the first time 2s have printed above 4.00% since August 23.
  • Moves in Europe and the bid in oil drive today’s sell off, extending on Friday’s NFP-driven sell off, with further Fed rate cut premium removed from markets.
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Latest block trade lodged at 10:04:59 London/05:04:59 NY:

  • 5K lots blocked at 103-12.875, looks like a buyer based on bid/offer at the time, but the contract has moved to fresh session lows in the time since. DV01 ~$190K.
  • Participant may be leaning on the 4.00% yield level in 2s, with highs of 4.0014% seen since the block, as core global FI markets remain under pressure.
  • This the first time 2s have printed above 4.00% since August 23.
  • Moves in Europe and the bid in oil drive today’s sell off, extending on Friday’s NFP-driven sell off, with further Fed rate cut premium removed from markets.