Halister News

(Bloomberg) -- Positioning is set to be main driver of the Sept./Dec. Eurex roll, with investors currently set for flatter German curves with a net short speculative bias in Schatz and Bobl futures, neutral positioning in Bunds and net long speculative positioning in Buxl, Citigroup strategist Michael Spies writes in a client note.

• As a result Citigroup is bullish on Schatz and Bobl rolls given the short positioning, while bearish on Bund and Buxl
• In Bund, speculative positioning is neutral with same CTDs in both contracts, and there no historical patterns in previous RXU/RXZ rolls; prefer to be bearish based on fair-value calculations for the roll
• In Schatz, a CTD switch in the back contract is highly probable once the new Schatz Sept. 19 is issued at the end of the month
• Compared to previous Sept./Dec. Eurex rolls, open interest in current front and back contracts is very high

To contact the reporter on this story: Stephen Spratt in London at sspratt3@bloomberg.net To contact the editors responsible for this story: Ven Ram at vram1@bloomberg.net Keith Jenkins