US TSY FUTURES: Treasury Quarterly Futures Roll Update
Nov-20 12:40
Tsy quarterly futures roll from Dec'24 to Mar'24 update below. Modest volumes this morning should start accelerating shortly as "First Notice" date on November 29 approaches. Current roll details:
- TUZ4/TUH5 appr 29,600 from -7.12 to -6.75, -6.88 last; 9% complete
- FVZ4/FVH5 appr 68,200 from -6.5 to -6.0, -6.0 last; 10% complete
- TYZ4/TYH5 appr 57,300 from -5.25 to -4.75, -5.0 last; 8% complete
- UXZU4/UXYH5 10,300 from -8.75 to -8.25, -8.25 last; 4% complete
- USZ4/USH5 1,900 from -5.25 to -4.25, -4.5 last; 14% complete
- WNZ4/WNH5 under 1,000 from -3.0 to -2.5, -3.0 last; 7% complete
- Reminder, December futures won't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 22. December options expire November 22.
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Historical bullets
STIR FUTURES: BLOCK: SOFR Green Pack, Swap Payer
Oct-21 12:37
- Total 2,000 SOFR Green packs (SFRZ6-SFRU7), -0.060 from 0829:00ET to 0833:21ET. Most likely swap-tied payer with spds running wider ahead a full week of corporate issuance.
EGBS: BTP Syndication Announcmeent Weighs
Oct-21 12:36
Supply-induced weakness in BTPs weighs on EGBs on the whole.
- The uptick in energy prices also extended a little further (before stalling), providing further background pressure.
- Bund bears probe support at the Oct 15 low (133.30), but only force a shallow break (133.29 low).
- A meaningful breach would expose key support/the bear trigger at the Oct 10 low (132.75).
- German yields 5-9bp higher, steepening.
- Extension to the German swap spread tightening flagged earlier during the move, fresh cycle lows seen again.
- Spreads to Bunds wider across EGBs.
- BTP/Bund spread sees the biggest swing (+3.5bp), with equities still lower on the day and the syndication announcement (covered in detail in previous bullets) adding further pressure. BTP/Bunds back above 120bp after the recent foray below.
EURIBOR OPTIONS: 0RZ4 98.37/98.50 Call Spread Lifted
Oct-21 12:26
0RZ4 98.37/98.50 call spread paper paid 2.25 on 6K
