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MNI Europe Pi (Positioning Indicator): Maintaining Short Bias

European bond futures positioning remains biased toward the short side as the quarterly contract roll approaches.

EXECUTIVE SUMMARY:

  • European bond futures structural positioning is still biased toward the short side, though there have been a few subtle shifts notably in Germany since our last biweekly update.
  • Note that Jun to Sep contract rolling begins shortly (Gilt First Notice is May 30; EGBs are Jun 8).

FULL PDF ANALYSIS:

  • GERMANY: German futures remain mostly in short structural positioning - though Bobl has shifted to very short from short previously, whereas Schatz is now short vs very short previously. Meanwhile Buxl continued to drift away from short positioning and is now flat. Bund remains short (and the only German contract not to see longs reduced last week - it saw short cover).
  • OAT: Structural positioning has moved from short back to flat (where it had been for most of the prior 2 months). Last week saw longs reduced.
  • GILT: Structural positioning remains flat (unch from our last few biweekly updates). Last week saw longs reduced.
  • BTP: Structural positioning remains in short territory, with further shorts set last week. However the contract remains well off the shortest levels in years seen for most of 2022.

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EXECUTIVE SUMMARY:

  • European bond futures structural positioning is still biased toward the short side, though there have been a few subtle shifts notably in Germany since our last biweekly update.
  • Note that Jun to Sep contract rolling begins shortly (Gilt First Notice is May 30; EGBs are Jun 8).

FULL PDF ANALYSIS:

  • GERMANY: German futures remain mostly in short structural positioning - though Bobl has shifted to very short from short previously, whereas Schatz is now short vs very short previously. Meanwhile Buxl continued to drift away from short positioning and is now flat. Bund remains short (and the only German contract not to see longs reduced last week - it saw short cover).
  • OAT: Structural positioning has moved from short back to flat (where it had been for most of the prior 2 months). Last week saw longs reduced.
  • GILT: Structural positioning remains flat (unch from our last few biweekly updates). Last week saw longs reduced.
  • BTP: Structural positioning remains in short territory, with further shorts set last week. However the contract remains well off the shortest levels in years seen for most of 2022.