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Rolling into December

BONDS
While it is still quite early for Eurex Rolls, first contracts to start rolling into December, and can't rule out a pick up ahead of the main Data/Risk events this week, will be the Gilt (1st Notice 29th), and Treasuries (1st Notice 30th).
  • UBS holds a bearish view of the Gilt spread, and the pace stands at pretty much 0% (as of Yesterday).

US Roll Pace:

  • Ultra: 5%.
  • TBond: 5%.
  • Ultra 10: 3%.
  • TYA: 4%.
  • FVA: 3%.
  • TUA: 2%.

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