May 20, 2024 07:35 GMT
Roll pace
US TSY FUTURES
- US Treasuries will be the first Bonds to start rolling, as Investors move from the June to the September expiry.
- This should start to pick up into Friday and next week ahead of the first notice on the 31st May:
Roll pace (still too early):
- Ultra Bond: 1%.
- Tbond: 4%.
- Ultra 10: 2%.
- Tnotes: 2%.
- FVA: 2%.
- TUA: 1%.
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