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J.P.Morgan On European & UK Bond Futures Rolls

BONDS

A quick summary of J.P.Morgan’s directional views on the quarterly rolls for European & UK bond futures (from the Z3 to H4 contracts) can be found below:

  • Schatz: Bearish bias on expected relative cheapening of front CTD vs back.
  • Bobl: Neutral on stable and offsetting drivers.
  • Bund: Bullish bias on expected richening of front CTD vs. back.
  • Buxl: Bullish bias on positive convexity from increase in net optionality, increase in repo specialness and potential short positioning.
  • OAT: Small bearish bias on expected decline in net optionality.
  • BTP: Bearish bias on expected decline in net optionality.
  • Short BTP: Neutral on stable drivers.
  • Gilts: Bullish bias on expected increase in net optionality.
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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