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BLOCKs, Rolling 10Y, 30Y Swaps

US SWAPS
  • 6,150 Sep/Dec 30Y MAC Swap futures, 18.125 at 0908:30ET
  • 20,000 Sep/Dec 10Y MAC Swap futures, 6.718 at 0857:30ET
30Y largely rolls all of Sep open interest: 6,160 coming into the session, while theSep 10Y Swap OI at 147,581 coming into the session.

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