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UBS Have Selling Bias For Futures Roll

GILTS

Looking ahead, UBS hold a selling bias for the gilt futures roll (first notice is Aug 29).

  • They note that “there is a significant duration gap between the U4 & Z4 contracts”
  • They also flag a “relatively significant CTD switch potential” and a long bias in existing market positioning, further supporting an early roll.
  • Delving deeper into the microstructure (looking at basis), UBS suggest that “the U4 contract appears richer relative to its CTD than the December contract,” adding to their bearish view.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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