Deutsche Bank-Fixed Income Blog Treasury Futures Roll Outlook Dec-25 to ...-118892100

T2se3r0Ot6kwoPaT2se3r0Ot6kwoPaDistributed on: 17/11/2025 05:09:35 GMTDistributed on: 17/11/2025 05:09:35 GMT17 November 2025Deutsche BankResearch Global Rates Fixed Income Blog Date Treasury Futures Roll Outlook: Dec-25 to Mar-26We provide an overview of the upcoming Treasury futures roll. For the December 2025 – March 2026 cycle, we are bullish on the TU and US calendar spreads, bearish on the FV and WN calendar spreads, and neutral on the TY and UXY calendar spreads.The release of delayed government data during the roll period could introduce some volatility to near-term Fed pricing. We expect the Fed to cut in December, though the bar for holding is very low. Current market pricing is consistent with this outlook as well as a highly divided Fed.SOFR/Fed funds pricing is consistent with an outlook of tight funding conditions through the year-end followed by improvements next year. While the Fed could take action to ease conditions, an announcement is unlikely during the roll period.Several contracts have closely contended CTDs and the switch optionality should be considered in the basis pricing. For example, TUZ5, TYZ5 and USH6 could switch CTDs in a rally; WNZ5 could switch CTD in a selloff.In the TU, TY and US sectors, the front CTD appears cheap relative to the back CTD.As of September, asset manager and other reportable net positions were high in the FV and TY sectors, low in the US sector, and close to average in the WN sector. However, given the lack of more recent data, positioning is likely less useful as an indicator in this roll cycle.DB Research and Trading will host a client call on Tuesday, November 18th at 11:00 am to discuss the outlook for the upcoming futures roll. Click here to register.Steven Zeng, CFAStrategist+1-212-250-9373Matthew RaskinStrategist+1-212-250-1741Andrew FuStrategist+1-212-250-1743Deutsche Bank Securities Inc.IMPORTANT RESEARCH DISCLOSURES AND ANALYST CERTIFICATIONS LOCATED IN APPENDIX 1. UNTIL 19th MARCH 2021 INCOMPLETE DISCLOSURE INFORMATION MAY HAVE BEEN DISPLAYED, PLEASE SEE APPENDIX 1 FOR FURTHER DETAILS.17 November 2025Fixed Income BlogPage 2Deutsche Bank Securities Inc.Client Webinar RegistrationDB Research and Trading will host a client call to discuss the outlook for the December 25 to March 26 Treasury futures roll. Click here to registerDate: Tuesday, November 18thTime: 11:00 am ETSpeakers:nRyan Whelan – US Futures ExecutionnSteven Zeng – US Rates StrategynJia Xu – Head of US Treasury TradingnRussell Tang – US Treasury TradingnMathieu Gripon – US Treasury TradingnCameron Young – US Repo TradingOverviewThe Dec25-Mar26 Treasury futures roll takes place in the wake of a lengthy government shutdown, with delayed economic releases flooding headlines over next few weeks helping update the outlook for policymakers and investors. As of this writing, the Fed is highly split over the appropriate policy action for the next meeting, with dissents likely regardless of the decision. At the same time, a