Eurex Bond Futures Calendar Rolls; Analysts Mostly Bearish
(Bloomberg) -- Analysts are generally bearish on Eurex bond futures March/June contract rolls, largely as a result of long positioning.
- Morgan Stanley (Guneet Dhingra)
- Mildly bearish on Schatz roll; expected range -7 to -2 cents range, fair value around -3 cents; real money, CTA longs could exacerbate bearish price action
- Bearish on Bobl roll, expected range 177-181 cents, fair value around 180 cents; long position in Bobl supports a bearish view for the roll
- Bearish on Bund roll, expected range 258-264 cents, fair value around 260 cents; open interest changes suggest potential build up of CTA longs, roll may be similar to that in March 2015
- Bearish on Buxl roll, expected range 121 to 124 cent, fair value of 122 cents; positioning is long, all past four roll cycles have also cheapened
- Credit Suisse (Florian Weber)
- Bearish on Schatz roll; fair value -5, current trades slightly rich at -4; believe hedge funds, real money positioning is long, also bearish for the roll
- Neutral on Bobl roll; price action to be driven by level of rates as CTDs are changing, at 176/177 roll is 2 ticks rich; CTA, hegde fund longs also bearish; roll early
- Bearish on Bund roll; fair value is 256 ticks, roll ~6 ticks too rich; long positioning by hedge funds, CTA also bearish for the roll
- Bearish on Buxl roll; fair value is 123 ticks, currently looks slightly rich; believe CTAs also long
- Deutsche Bank (Jack Di-Lizia)
- Bearish on Schatz roll; see FV -5 cents; CTD changes to 03/2018, generates directionality of 1 cent move in the roll for 3.5bp move in yield; long positions suggests bearish roll
- Bearish on Bobl roll; see FV 178 cents; CTD changes to 01/2021, suggests limited roll directionality; evidence of steady build of long positions in the Bobl contract, bearish the roll
- Bearish on Bund roll; see FV at 258 cents; CTD unchanged; open interest, RX price action suggest increase in long positioning into recent rally, may put bearish pressure on the roll, recommend investors roll longs early
- Neutral/Bullish on Buxl roll; see FV 130 cents; CTD unchanged; short positioning has reduced, though see some pressures from rolling existing short positions; neutral to bullish on the Buxl roll
- Neutral on Gilt roll; see FV 80 cents; CTD unchanged; roll directionality is low, positioning dynamics to dominate
Alert:
HALISTER1Source: BFW (Bloomberg First Word)
People Guneet Dhingra (Morgan Stanley)
Florian Weber (Credit Suisse Group AG)
Jack Di-Lizia (Deutsche Bank AG)
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