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Citi write "We are bearish on gilt roll at....>

GILTS
GILTS: Citi write "We are bearish on gilt roll at the current market level of
100 ticks and suggest that longs roll early". They believe that the main
influence on the roll will be the long speculative market positioning.
- There is some optionality in the front month contract "we do not rule out the
possibility of a CTD switch in the front contract" but the Gilt Jul-26 needs to
cheapen 3bp to the Gilt Dec-27. They do not see much chance of a CTD switch in
the Dec-17 contract.

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