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MNI Europe Pi (Positioning Indicator): Gilts Long Into Roll

The past two weeks - since COVID vaccine progress began coming to the forefront - has seen some subtle positioning changes in European futures. A decline in open interest across contracts since late October has accelerated (OAT and Buxl excepted), while BTP structural positioning has gone further in the long direction.

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  • GERMANY: Schatz and Buxl positioning remain flat with little change over the past fortnight, notably longs were set in both over the past week. We've seen longs pared back overall for the other contracts, with Bobl moving to long from very long, and Bund to flat from long.
  • OAT: Positioning remains short, having been flat for the preceding few weeks, though we saw longs set in the past week.
  • GILT: Positioning remained long as the Dec20/Mar20 contract roll got underway (1st notice = Nov 27).
  • BTP: Positioning has pushed back to very long from merely long earlier in November.

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