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Rolls Notably Boost Volume, Futures Little Changed


YM & XM have dealt either side of their respective overnight levels, failing to challenge their respective post-Sydney peaks, with volume boosted by quarterly rolls (which account for ~90% of YM & XM activity seen since Friday’s Sydney settlement).

  • Cash ACGBs run 2.0-3.0bp richer across the curve, while YM is +2.8 and XM is +2.5, with both contracts little changed from their respective overnight closing levels. EFPs are little changed, while Bills run flat to 6 ticks richer through the reds.

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