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EU rolls dominate

BONDS
  • As expected, desks are taking advantage of some liquidity to roll positions into Sep, ahead of the long UK weekend.
  • Over half of the front month volumes are now all spread related.
  • Outlook for UB, RX, OE, DU were on the bullish side.
  • RXA roll is seeing selling today, after the spread rallied from -52 on Friday to -35 yesterday, spread now trades at -39.
  • A different story for the Schatz, with continued buying of the roll, after the spread rallied from 64 (last Thursday), to 75 this morning, and trading at 75 now.
  • BTP spread is seeing similar price action as in the Bund roll, offered this morning, after the spread rallied from 218 (last Friday), to a 238 peak this morning, spread now trades at 235.
  • OAT spread has been stuck in a 219/222 range for the past 12 sessions, now at 220/221

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