May 23, 2024 06:40 GMT
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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