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MNI Europe Pi (Positioning Indicator) Update: Leaning Short Ahead Of Roll

BONDS

A quick look at our Europe Pi structural positioning readings as the Sep to Jun quarterly contract roll is soon to get underway in earnest for EGBs (First Notice date is Jun 8). Not many changes to our last full update on May 23:

  • Schatz, Bund, and BTP maintain structural short positioning;
  • Buxl and OAT remain flat;
  • Bobl remains very short.
  • Gilt positioning now reads short vs flat prior, but this hugely distorted by the impact of the contract roll well underway (~70% complete at last check).

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A quick look at our Europe Pi structural positioning readings as the Sep to Jun quarterly contract roll is soon to get underway in earnest for EGBs (First Notice date is Jun 8). Not many changes to our last full update on May 23:

  • Schatz, Bund, and BTP maintain structural short positioning;
  • Buxl and OAT remain flat;
  • Bobl remains very short.
  • Gilt positioning now reads short vs flat prior, but this hugely distorted by the impact of the contract roll well underway (~70% complete at last check).