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Morgan Stanley Believe Roll Sits At Cheap Levels


Morgan Stanley write “vs. our valuation metrics, the Gilt futures roll is currently trading ~0.16 cheap, mostly driven by the richness in the front contract.”

  • “The current probability of a switch in CTD is negligible in this roll cycle.”
  • “We recommend shorts roll early ahead of a likely richer roll.”
MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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