HALISTER1: Positioning Divergence May Affect H7/M7 UST Futures Roll: Citi

Positioning Divergence May Affect H7/M7 UST Futures Roll: Citi

(Bloomberg) -- Positioning may be the primary driver of the current roll cycle, as asset managers and leveraged funds are continuing on their “divergent long and short paths,” Citi strategist Jason Williams says in Feb. 10 note.
  • Market’s expectation of Fed policy may affect TU, FV rolls
  • NOTE: First notice for Treasury futures complex is Feb. 28
  • Bullish TUH7/TUM7
    • Current positioning similar to past rolls, as asset managers have larger net long exposure than leveraged funds
    • Longs should move later in the cycle due to historic richening of the roll and relative valuation
  • Bearish FVH7/FVM7
    • Positioning should be the driver as divergence between asset manager longs and leveraged fund shorts has continued to grow to near record levels
    • Longs should roll early in the cycle; shorts should wait due to potential richening pressure from asset manager positioning
  • Neutral TYH7/TYM7
    • “Local flatness” of CTD slope may discourage longs from rolling early
    • Cycle similar to H6/M6 roll positioning, which saw richening pressure against fair value
  • “Slightly” bullish UXYH7/UXYM7
    • Asset managers remain net short, which usually indicates longs should roll later in the cycle and shorts should move early
    • Longs should wait to move until first notice day, as UXY roll tends to richen 2-3 days before, then cheapen on the day itself
  • Neutral USH7/USM7
    • Asset manager net longs around the same level as last cycle, suggesting a risk that positioning may put cheapening pressure on the roll
    • Even though May-37 USTs continue to be cheapest to deliver bonds for both March and June contracts, there’s a risk of switch optionality for USM7
  • “Slightly” bearish WNH7/WNM7
    • Roll has tended to cheapen to fair value approaching first notice day, then richen heading into the actual day
    • Longs should roll early in the cycle due to large positioning divergence between asset managers and leveraged funds
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Jason Williams (Citigroup Inc)

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UUID: 7947283

HALISTER1: U.S. ECO PREVIEW: Producer Price Index Due in 5 Minutes

U.S. ECO PREVIEW: Producer Price Index Due in 5 Minutes

(Bloomberg) -- Following are forecasts for today’s U.S. economic releases as compiled by Bloomberg News:
  • PPI 0.3% m/m; range 0.2% to 0.5% (63 estimates)
    • Would be third consecutive increase
  • Core PPI 0.2% m/m; range 0.1% to 0.3% (55 estimates)
  • Ex trade PPI 0.2% m/m; range 0.1% to 0.2% (9 estimates)
  • PPI 1.5% y/y; range 1.4% to 1.7% (25 estimates)
  • Core PPI 1.1% y/y; range 0.9% to 1.7% (23 estimates)
  • "The fundamental case for a continued firming in U.S. inflation looks very compelling. After a long expansion, the economy is now operating close to full employment, resulting in a steady pickup in underlying price pressures": Goldman Sachs economists Daan Struyven and Zach Pandl
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Daan Struyven (Goldman Sachs Group Inc/The)
Zach Pandl (Goldman Sachs Group Inc/The)

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UUID: 7947283

HALISTER: Hologic to Buy Cynosure for $66.00/Shr in Cash

Hologic to Buy Cynosure for $66.00/Shr in Cash

(Bloomberg) -- Hologic agrees to acquire all outstanding Cynosure shares for $66.00 per share in cash, which corresponds to an equity value of ~$1.65b and an enterprise value of $1.44b net of cash.
  • HOLX sees deal adding to adj. EPS immediately
  • CYNO halted
  • NOTE: Yday, CYNO fell 6.5% after Allergan agreed to buy Zeltiq
  • Statement:Link
Alert: HALISTER
Source: BFW (Bloomberg First Word)

Tickers
CYNO US (Cynosure Inc)
HOLX US (Hologic Inc)

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UUID: 7947283

HALISTER: Aetna, Humana Abandon $37 Billion Merger Blocked by U.S. Judge

Aetna, Humana Abandon $37 Billion Merger Blocked by U.S. Judge

(Bloomberg) -- Aetna will walk away from its $37b takeover of Humana after deciding not to appeal a ruling by a federal judge who blocked the deal on antitrust grounds.
  • Under the terms of the merger agreement, AET will pay HUM a $1b breakup fee
  • Additionally, Aetna has terminated its previously announced agreement to sell certain Medicare Advantage assets to Molina Healthcare
  • NOTE: Feb. 9, Humana, WellCare Seen as Targets After HMO Deal Blocks: Leerink
  • NOTE: Feb. 8, Cigna-Anthem Deal Blocked by U.S. Judge as Anticompetitive
Alert: HALISTER
Source: BFW (Bloomberg First Word)

Tickers
AET US (Aetna Inc)
HUM US (Humana Inc)
ANTM US (Anthem Inc)
CI US (Cigna Corp)
MOH US (Molina Healthcare Inc)

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UUID: 7947283

HALISTER: Anglo American Says Chairman John Parker Will Step Down

Anglo American Says Chairman John Parker Will Step Down

(Bloomberg) -- Parker will continue as chairman until a replacement is found, company says in regulatory filing.
Alert: HALISTER
Source: BFW (Bloomberg First Word)

Tickers
AAL LN (Anglo American PLC)

People
John Parker (Pennon Group PLC)

Topics
Management Changes

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UUID: 7947283

(2) *ANGLO AMERICAN SAYS CHAIRMAN JOHN PARKER TO STEP DOWN

*ANGLO AMERICAN SAYS CHAIRMAN JOHN PARKER TO STEP DOWN

Alerts: HALISTER, HALISTER1
Source: BN (Bloomberg News)

Tickers
AAL LN (Anglo American PLC)

People
John Parker (Pennon Group PLC)

Topics
Who's News - People
Management Changes

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UUID: 7947283