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Citi Are Neutral On Schatz & Bobl Futures Rolls

BUNDS

Citi note that they are “neutral on both the OE and DU M3/U3 rolls. The drivers for the OE roll include the same CTDs across front/back contracts, neutral view on repos, and neutral positioning in OE futures. For the DU roll, the drivers are a neutral view on repo rates and the CTD curve, as well as neutral positioning in DU futures. Roll completion is just 0.8% and 1.2% for OE and DU contracts respectively (as of yesterday afternoon)."

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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