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Roll should start picking up this week

US TSY FUTURES
  • Expect US rolling position into December to start picking up at the end of the week, with 1st notice on the 31st August, but expiry still a long way into Sep (21/09)
ROLL PACE:
  • Ultra: 10%
  • TBond: 3%
  • Ultra 10yr: 10%
  • TYA: 4%
  • FVA: 3.5%
  • TUA: 4%

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