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Structural Position Looks Short For OAT And Bund As Roll Period Nears

BONDS

Re our note on Citi's analysis of the OAT roll at 1007UK time this morning, "slightly bullish on the OAT U3/Z3 roll, and recommend longs roll late and shorts roll early...the primary driver is positioning which seems marginally short to us."

  • MNI Europe Pi concurs on the short OAT structural positioning, which has been leaning short the last couple of months. Bund structural positioning is also short, with BTP long - other contracts are flat.
  • Reminder that first notice for Eurex contracts is Sep 7th and the roll will likely start picking up next week.

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