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XM Roll Activity Leading Thus Far

AUSSIE BONDS

The XM roll has been more active than its YM equivalent after the shift to smaller tick sizes ahead of next week’s expiry, with 88% of the ~220K lots dealing in the XMH3/M3 spread on the bid in the time since the overnight session got underway, trading from 0.7 down to 0.3 (market 0.3/0.4 last). Estimates indicate that ~14% of the XM roll has been completed, alongside ~8% of the YM roll.

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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