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Deutsche: Bullish Gilt Roll

BONDS
Deutsche writes that they are bullish the Z3-H4 Gilt futures roll "primarily because we think the optionality in the H4 contract is currently underpriced...our fair value is about 7p higher than currently priced. Therefore, longs would be advised to wait to roll, while shorts would be advised to roll early."
  • In line with MNI Europe Pi's finding published earlier today that Gilt enters the roll period in marginally short structural positioning, Deutsche finds Gilt positioning to be "moderately short which is another factor in favour of a richening in the roll. RV, OIS and repo dynamics are not expected to drive this roll and we are fairly neutral on these factors."
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