May 24, 2024 06:28 GMT
Treasuries and Gilt rolls
BONDS
- Rolling Positions into the September expiry will dominate today and into next week in Treasuries and Gilt, given the lack of Risk Events and Data.
- Yesterday saw a massive jump in 5yr (FVA) roll post data, with well over 1 Million spread trading.
- So far in very early trade, a third of the front Month Volume in Tnotes is spread related.
PACE:
- Ultra Bond: 30%.
- Tbond: 35%.
- Ultra 10: 33%.
- Tnotes: 33%.
- FVA: 36%.
- TUA: 32%
- Gilt: 16% (as of Yesterday).
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