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ROLL UPDATE

US TSY FLOWS
  • Expect rolls to dominate, and looking at early volumes in 10yr, so far today. Close to 50% is spread related.
  • TYM1 volume stands at 100k, TYU1 at 41k, including 30k outright rolls.

Quick US Roll update.

  • Ultra: 14.4%
  • USA: 15.0%
  • Ultra 10: 14.5%
  • TYA: 13.7%
  • FVA: 13.5%
  • TUA: 10.0%

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