HYBRIDS: Orange (ORAFP: Hyb Baa3/BBB-/BBB-) Tender Results

Gilt yields have respected the next round of technical levels during the latest leg of the sell off, with the 2-Year downtrend drawn off the ’25 high (4.119% today) and mid-April highs further out the curve remaining intact/unchallenged. Note key levels in the long end of the U.S. yield curve are also holding at present.

Tsy quarterly futures roll volumes from June'25 to September'25 outlined below. The 5Y leading the process with approximately 17% complete, followed by 10s at 13% complete. Still a long way to go ahead the "First Notice" date on May 30. Current roll details:

• TUM5/TUU5 appr 85,500 from -9.12 to -8.62, -8.62 last, appr 8% complete
• FVM5/FVU5 appr 406,600 from -3.75 to -3.0, -3.25 last, appr 17% complete
• TYM5/TYU5 appr 222,200 from -1.5 to -0.5, -0.75 last, appr 13% complete
• UXYM5/UXYU5 appr 26,700 from 3.75 to 4.0, 3.75 last, appr 6% complete
• USM5/USU5 appr 22,600 from 10.0 to 12.75, 10.75 last, appr 9% complete
• WNM5/WNU5 appr 24,700 from 6.25 to 6.75, 6.5 last, appr 7% complete
• Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, 2s and 5s on June 30. June Tsy options, however, expire May 23.

ERZ5 98.375/98.625 call spread paper paid 5 on 5K.