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UK and Tsys roll update

BONDS
  • Although it was a close call during the European open regarding front Month in Treasuries, September is now front Month.

ROLL PACE:PACE:

  • Ultra Bond: 84%.
  • Tbond: 82%.
  • Ultra 10: 80%.
  • Tnotes: 80%.
  • FVA: 81%.{US} TUA: 82%

For Gilt, September was already front Month on the Open, and the street will be looking at fully completing their rolls by end of the day, taking advantage of the remaining liquidity in the June contract ahead of the first notice Tomorrow.

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  • Although it was a close call during the European open regarding front Month in Treasuries, September is now front Month.

ROLL PACE:PACE:

  • Ultra Bond: 84%.
  • Tbond: 82%.
  • Ultra 10: 80%.
  • Tnotes: 80%.
  • FVA: 81%.{US} TUA: 82%

For Gilt, September was already front Month on the Open, and the street will be looking at fully completing their rolls by end of the day, taking advantage of the remaining liquidity in the June contract ahead of the first notice Tomorrow.

Keep reading...Show less