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5yr roll

US TSY FLOWS
  • FVZ1/FVH2 is seeing small better buying on the spread, traded 2k today.
  • Spread has mostly been sold this week, after trading at 19.50, to 18.75 this morning.
  • The spread trades at 19 (settled at 19 yesterday).
  • Still fairly early to initiate rolls, with first notice on the 30th November.
  • The 5yr spread tends to lead the way in terms of pace, so OI in March stands at ~51.4k

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