Eurex Bond Futures Calendar Rolls; Mixed Views From Analysts
(Bloomberg) -- For the June/Sept Eurex bond futures rolls, analysts note that CTA positioning is neutral, though views are mixed on roll direction.
- Morgan Stanley (Guneet Dhingra)
- Neutral on bund roll, see fair value ~102c, range 100c-106c; back contract cheap to fair value, front contract may can richen given repo value of CTD
- Bullish on Bobl roll, fair value ~88c, barring significant moves in 2s5s, expect range 84c-89c; overall positioning neutral; CTD looks cheap vs peers, rolls positively, should richen the roll
- Schatz roll fair value ~6c, see 5c-8c range; CTA positioning neutral, unlikely speculative longs still there, front contract CTD cheap vs peers may bias front contract richer, mildly bullish
- Citi (Aman Bansal, Michael Spies)
- Slightly bearish on bund roll, currently ~101 ticks; main driver of roll likely speculative positioning which is slightly long, should be bearish for the roll; longs should roll early
- Slightly bearish bobl roll; speculative positioning slightly long, should be key driver; further cheapening of DBR 06/2021 vs 01/2021 may put upward pressure on the roll
- Bullish on Schatz roll; believe speculative positioning to be short, lends bullish bias to the roll; richening of front CTD from cheap levels should also be supportive for roll
- SocGen (Jamal Meliani)
- Bund roll is directional, positioning relatively neutral; back contract appears slightly cheap to fair value, longs should roll early
- Bobl roll is directional, volatile, positioning appears to be neutral; roll is fairly valued, suggest shorting on any pullback to -87c/-86c
- Schatz roll fairly valued, speculative positioning is neutral; 2Y yield at risk of mild sell-off going into delivery, roll is poised to richen
Alert:
HALISTER1Source: BFW (Bloomberg First Word)
People Guneet Dhingra (Morgan Stanley)
Aman Bansal (Citigroup Inc)
Jamal Meliani (Societe Generale SA)
Michael Spies (Citigroup Inc)
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