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Anne Karina Asbjorn and Andy Chaytor at.......>

GILTS
GILTS: Anne Karina Asbjorn and Andy Chaytor at Nomura look at the upcoming Gilt
future calendar roll. They write that they are "mildly bearish on the calendar
spread and we advocate selling it, i.e., longs to roll early while shorts to
roll late", estimating fair value at 97 ticks.
- They add that long positioning is similar to the last roll, although with some
longs being added recently. This should support the back contract.
- Furthermore, Nomura expect a flattening of the 3Y+ segment of the curve. There
is no difference between front and back-month CTDs and so this reduces the
sensitivity of the roll to curve and directional movements. However, such a
flattening move should limit (already small) chances of a switch in CTDs within
contracts.

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