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Free AccessAnne Karina Asbjorn and Andy Chaytor at.......>
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.
To read the full story
Sign up now for free trial access to this content.
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.