October 14, 2024 13:59 GMT
MNI Europe Pi (Positioning Indicator): Longs Look Extended
European bond futures structural positioning is long across the board, though last week saw longs cut.
EXECUTIVE SUMMARY:
- Changes in European bond futures structural positioning have been mostly to the long side since the Eurex quarterly roll in early September.
- Longs pre-September have consolidated (Gilt, Bund), but others (Schatz, Buxl, BTP) have seen longs extend.
- This has left all contracts "long/v long". That said, last week saw longs cut almost across the board.
Full PDF Analysis:
MNIEuropePi-Oct142024.pdf
- GERMANY: German contracts are all in long structural positioning, a contrast from a couple of months ago when all (but Bund) were ""flat"". Schatz, Bobl, Bund are all in structually long territory. Buxl stands out for being "very long", a reversal versus mid-summer when it was the German contract leaning shortest. Last week saw longs reduced across all four contracts.
- OAT: OAT is in long positioning, with which it has flirted (vs flat) for most of the period since July's elections. Trade last week was indicative of long reduction.
- GILT: Gilt is in long territory, along with its Eurex counterparts, though this is a notch below the very long positioning in late Jul/early Aug. Last week saw trade indicative of short-setting.
- BTP: Positioning is in very long territory, a reversal from short territory seen as recently as July. Some long reduction was seen last week, however.
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