Asset manager positioning shifts and relative value are important for the upcoming Mar24 to Jun24 roll cycle, Andres Mok and Amrut Nashikkar note.

The TY, US and WN all feature potential CTD switches, while the wild card in WN “will not be in effect in the afternoon of the March FOMC meeting.”

Bearish TU: Asset manager net long positioning has been largely unchanged since last roll. Relative cheapening of the front CTD “imparts a bearish direction on the calendar roll”

Bearish FV: Asset manager net longs “modestly increased” and positions are more price insensitive. Cheapness of front CTD is bearish for the roll

Bullish TY: Asset manager net positioning has remained elevated, but positions have become more price sensitive. Richening pressure on front CTD and potential for a CTD switch in the back contract at the upcoming 7-year auction are bullish for the roll

Neutral UXY: Asset manager net positioning has declined from last cycle’s peak and positions are less price sensitive vs. prior roll. “We do not have a clear direction on the roll and are neutral.”

Neutral US: Since last cycle asset managers have increased net long positions. Local bear flattening in rates selloff in the sector “keeps the CTDs anchored around the 2039-2041 sector, stalling a switch to a longer maturity security”

Bearish WN: Asset manager net long positions at highest since early last year and positions are price-insensitive which is bearish for roll. “The wild card option in H4 will be effective during the delivery period to March 18 but before the FOMC meeting on March 20.” Into large rallies, however, the

WNM4 contract has potential CTD switch. “Long-end vol and 3-5pm moves in recent months have also come down, which suggest market pricing of the wild card in H4 is a touch high.”