US TSY FUTURES: Sep/Dec Quarterly Futures Roll Underway
Aug-16 14:12
While it seems too early to start rolling Sep'23 quarterly expiration futures to Dec'23 (September futures don't expire until late next month, details below), the "First Notice" date, when the current lead quarterly passes the honor to the following quarterly, is only two weeks away on August 31. Tsy quarterly futures roll volume from Sep'23 to Dec'23 underway. Current markets:
- TUU/TUZ 7,500 from -14.62 to -14.00, -14.25 last, <2% complete
- FVU/FVZ 22,300 from -17.0 to -16.25, -16.5 last, appr 3% complete
- TYU/TYZ 17,800 from -15.5.00 to -14.75, -15.25 last, appr 2% complete
- UXYU/UXYZ <100 from -19.0 to -18.0, -18.75 last, appr 1% complete
- USU/USZ 5,600 from -6.75 to -6.5, -6.75 last, appr 3% complete
- WNU/WNZ 9,800 from -15.0 to -14.75, -14.75 last, appr 6% complete
- Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 20, September 29 for 2s and 5s.
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BOE: APF SALES: Detailed results
Jul-17 13:53
| Medium Gilts | Bids received | BOE sells | WAAP | Prev bids | Prev sales | |
| 0.375% Oct-30 | GBP515.0m | GBP458.7m | 75.106 | GBP0.0m | GBP0.0m | |
| 4.75% Dec-30 | GBP205.3m | GBP154.0m | 102.126 | GBP204.3m | GBP204.3m | |
| 0.25% Jul-31 | GBP368.4m | GBP177.3m | 72.135 | GBP17.9m | GBP0.0m | |
| 4.25% Jun-32 | GBP39.8m | GBP0.0m | 0.000 | GBP692.9m | GBP336.8m | |
| 0.875% Jul-33 Green | GBP50.4m | GBP0.0m | 0.000 | GBP82.0m | GBP0.0m | |
| 4.50% Sep-34 | GBP0.0m | GBP0.0m | 0.000 | GBP150.7m | GBP0.0m | |
| 0.625% Jul-35 | GBP32.3m | GBP0.0m | 0.000 | GBP258.5m | GBP0.0m | |
| 4.25% Mar-36 | GBP187.7m | GBP0.0m | 0.000 | GBP0.0m | GBP0.0m | |
| 1.75% Sep-37 | GBP0.0m | GBP0.0m | 0.000 | GBP21.3m | GBP0.0m | |
| 4.75% Dec-38 | GBP23.5m | GBP0.0m | 0.000 | GBP51.9m | GBP0.0m | |
| 1.125% Jan-39 | GBP18.7m | GBP0.0m | 0.000 | GBP0.0m | GBP0.0m | |
| 4.25% Sep-39 | GBP0.0m | GBP0.0m | 0.000 | GBP0.0m | GBP0.0m | |
| 4.25% Dec-40 | GBP28.8m | GBP0.0m | 0.000 | GBP0.0m | GBP0.0m | |
| 1.25% Oct-41 | GBP8.9m | GBP0.0m | 0.000 | GBP224.8m | GBP198.2m | |
| 4.50% Dec-42 | GBP0.0m | GBP0.0m | 0.000 | GBP50.5m | GBP30.7m | |
| TOTALS | GBP1,478.8m | GBP790.0m | GBP1,754.8m | GBP770.0m |
BOE: APF SALES: GBP790mln of medium-dated gilts with bid-to-cover of 1.87x
Jul-17 13:49
Previous bid-to-cover ratios: most recent first: 2.28x, 2.49x, 2.16x, 3.25x.
* These operations had a size of GBP770mln.
STIR: SOFR Bull Curve Flattener
Jul-17 13:19
- 4,000 SFRH4 97.00/94.50 call spds vs. 2QH4 98.50/99.00 call spds, Green Aug'24 bought over, 0.5 net db on bull curve flattener
