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MNI Europe Pi (Positioning Indicator): Long Setting

BONDS

Two weeks after the completion of the EGB futures roll, we have seen very much mixed structural positioning. The only consistent theme has been longs set in the past week across all contracts.

  • GERMANY: Bobl and Buxl have both seen positioning move further long over the past couple of weeks, but the standout in Germany is Bund which is very long. This is a reversal from flat/short in mid/late August, and in contrast to Schatz, which has moed from long to short over the same period.
  • OAT: Positioning has dipped back into short territory, where it has hovered alternately with flat positioning over the last couple of months.
  • GILT: Positioning was long going into the roll and remains so, though it has come off the longest levels seen since late July.
  • BTP: Positioning has finally retraced from long/very long seen over most of the summer, and is now flat.
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