First Notice 31st August

Barc and citi roll views attached below

30yr Ultra 9% complete

-1-15 / -1-14.75

{wnwn Comdty gip10}

30yr 13% complete

-05 / -04.75

{usus Comdty gip10}

10yr 6% complete

-14/-13.75

{tyty Comdty gip10}

been getting sold all through the london session

10yr ULTRA 3% complete

-17.5/-17.25

{UXYUXY Comdty gip10}

5yr 8% complete

-15.5/-15.25

{fvfv Comdty gip10}

we have been buyers alongside others over last few days

2yr 5% complete

-13.375/-13.25

{tutu Comdty gip10}

directionally only buyers thus far in the roll

CITI:

TU bearish: View based on Treasury curve flattening risks; see the recent bear steepening move looking stretched “and we might see some reversal over the next couple of weeks”

FV neutral: Bullish risks seen from smaller net long asset manager positioning while bearish risks seen from the flattening of the curve

TY slightly bearish: View based on high asset manager long positioning. “Longs that withstood the recent sell-off are less likely to sell at these levels,” so expect a slight bearish pressure on the TY roll “over the next few days”

UXY slightly bearish: View based on higher net long asset manager positioning, but the roll looks cheap against the Citi fair value metric

US slightly bearish: View based on the decrease in asset manager short positions

WN bearish: View based on risks from the curve flattening and higher net asset manager long positions

BARC

Bearish TU: Past year has seen asset manager positions increasing while richness of the back CTD (cheapest to deliver) signals a cheapening of the calendar roll. “Early delivery of low-coupon seasoned 5y notes is optimal in both contracts”

•

Bearish FV: Bearish factors include asset manager net long positioning, roll pace and richness of back CTD. “Early delivery is also optimal in both contracts”

•

Bearish TY: Bearish directional roll bias based on asset manager net longs and richness of back CTD. Back contract may also modestly cheapen if there is an auction switch in the back (December 2023) contract if the coupon for the when-issued 7-year note (Aug30) is issued at 4.125% or higher

•

Neutral UXY: Asset manager net longs increasing to recent highs. “The back net basis has room to richen relative to the front, and there has been a tendency for the calendar roll to richen.” Neutral on the roll based on no clear positioning signal and valuations

•

Bearish US: “There is switch risk in the CTDs to longer-maturity bonds if rates sell off further and/or the yield curve steepens.” Cheapening bias on the roll comes from asset managers’ net long positions at highest since 2021 and the increased roll pace

•

Bearish WN: Asset manager elevated net longs have grown more price sensitive, signaling a cheapening of the roll. “While the wild card option in U3 may be worth holding, the last day the wild card is effectively in play is the day before the FOMC meeting”