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Structural Gilt Positioning Very Marginally Short As Rolls Begin

BONDS

The quarterly (Dec>Mar) Gilt roll has just gotten started ahead of first notice on Weds Nov 29 (it's Dec 7th for Eurex contracts).

  • MNI Europe Pi positioning estimates that going into the roll, Gilt futures were in very marginally short structural positioning. Indeed, so marginally short that the reading has fluctuated between flat/short for most of November.
  • That compares with structurally flat positioning going into both of the previous two rolls.

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