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of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
MNI Europe Pi (Positioning Indicator): Mixed Into Eurex Roll
MNI Europe Pi (Positioning Indicator): Mixed Into Eurex Roll
EXECUTIVE SUMMARY:
- Structural positioning in European bond futures enters the quarterly (March-June) contract roll mixed, with BTP notably "very long" and long-end Germany "short".
- The most recent week's trade has been overwhelmingly long reduction, with the OI pullback associated with the roll beginning to pick up yesterday (Feb 28).
- We will publish our next Pi update in mid-March, at least one week after the last trade date for March Eurex contracts on March 7th.
Full PDF Analysis:
- GERMANY: Positioning has shifted subtly since our mid-February update: while Schatz remains structurally long and Bund short, Bobl is now flat (vs short previously), with Buxl now short (vs flat previously). The past week has seen longs reduced in each contract, with the exception of Buxl (shorts set).
- OAT: OAT remains in flat structural positioning, where it has been for several months now. Trade last week was indicative of long reduction.
- GILT: The Gilt roll started in earnest on Feb 22, meaning the Pi signals since then are distorted (currently reading short). Entering the roll we estimate that the contract was in structurally flat territory.
- BTP: BTP structural positioning has moved to very long from long previously - though last week's trade was indicative of longs being reduced.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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