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With 1st notice for front EGB contracts on Sep 8, the roll is about to begin in earnest (Gilts are complete, chart data below is through Aug 20). We note that contracts are either flat or long as the roll begins - no shorts in sight.
- GERMANY: Schatz and Buxl come into the Sep/Dec roll with long structural positions, whereas Bobl and Bund are both flat. Longs were reduced for all German contracts in the past week.
- OAT: Positioning is flat going into the roll (where it has been for several weeks), though it was the only European contract that saw shorts set last week.
- GILT: Positioning was long going into the roll (which is now complete); we will wait for a few more sessions to update our positioning post-roll.
- BTP: Positioning is now long, having been very long for most of July/August.