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US Bonds roll

BONDS
  • As we slowly edge towards first notice for the US, and spreads have seen some early small trade of late.
  • First notice is on the 30th November, but expiry is at the end of December. Regardless, March will be front month around that first notice period.

ROLL PACE:

  • Ultra 30: 5%
  • TBond: 7%
  • Ultra 10: 6%
  • Tnotes: 5%
  • FVA: 6%
  • TUA: 6%

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