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Rolling pace

BONDS
  • Rolls will pick up this week with first notice on the 28th Feb for Treasuries. Looking at Tnote (TYH3), under a third of the front volume is spread related.

Roll pace:

  • Ultra: 9%
  • TBond: 5%
  • Ultra 10: 4%
  • TYA: 7%
  • FVA: 10%
  • TUA: 9%

For Gilt, first notice is on the 27th February, under a quarter of the front month volume is spread related.

  • Gilt pace is at 3.4%.

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