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Roll pace is picking up

BONDS
  • There was a clear pick up in Volumes in Treasury spreads Yesterday, started to see the 20, 30, 40k clips.
  • Although Volumes are still fairly low in early trades as desks await on the PMIs, a quarter of the front Month volume in TYM4 is spread related.
  • TYA spread has just been sold in 16k, and TUA in 24.6k, well over half the volume in TUA is spread related.

Roll pace:

  • Ultra Bond: 11%.
  • Tbond: 17%.
  • Ultra 10: 14%.
  • Tnotes: 14%.{us} FVA: 13%.{US} TUA: 12%

Gilt roll should also start to pick up, with first notice on the 30th May.

  • Gilt: 5%.

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