For the Treasury futures calendar roll from Dec24 to Mar25, interest-rate strategists at Citi are neutral on TU, slightly bullish FV, neutral TY, slightly bullish UXY roll, slightly bullish US and neutral WN, Raghav Datla and Jason

Williams say in a note.

* TU: Neutral based on bearish risks from increased asset manager long positioning (to 53% of open interest from 47% in September) offset by bullish risks from cheapness of the roll

* FV: Slightly bullish based on richness of FVH5 relative to the CTD, while 4% increase in asset-manager longs “is unlikely to significantly alter the roll dynamics”

* TY: Neutral; bearish pressure from increased long positioning should be offset by cheapness of the roll. Asset manager positioning in TY “was mainly driven by a decrease in short positions.” Expects TY roll “to move lower initially driven by

the bearish pressure from the increased AM long positions and then richen towards its fair value in the last week of the roll month”

* UXY: Slightly bullish cased on curve-steepening risks and cheapness of the roll

* US: Slightly bullish based on steepening risks for the CTD slope. “A 10bp steepening in the 10s20s curve will lead to the CTD slope steepening by about 0.5bp,” potentially richening the roll by around 2 ticks

* WN: Neutral as the front- and back-month contracts have the same CTD