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Rolling into March should pick up.

US TSY FUTURES
  • Something to bare in mind at the start of this week and that is rolling position into the March 2023 contract in US Treasuries, given that we have a Thanksgiving week and that 1st notice is next Wednesday.
  • Some desk might favour to take advantage of the liquidity, and pace should pick up earlier.

ROLL PACE:

  • Ultra Bond: 11.0%.
  • TBond: 7.3%.
  • Ultra 10: 5.0%.
  • TYA: 8.0%.
  • FVA: 6.0%.
  • TUA: 8.0%.

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