UK Rates Strategy: M6/U6 Gilt Futures Roll

Research evidence excerpt

UK Rates Strategy: M6/U6 Gilt Futures Roll

IdeaMpressure from long-futures positions.

Positioning – Mildly Bearish

ICE weekly aggregate positioning data as of 12-May-2026 show asset managers holding

net long positions of around 350,000 contracts, with leveraged funds net short by

around 210,000 contracts (see Exhibit 2 ). The leveraged-fund short position is consistent

with continued long-basis positioning, although the latest data points suggest some

unwinding, likely driven by rising domestic volatility (see Exhibit 3 ).

Asset-manager net longs have fallen by around 65,000 contracts since 27-Feb-2026 (see

Exhibit 3 ), but remain elevated relative to the available history since ICE began publishing

weekly aggregate positioning for long gilt futures and options in late March 2025.

Combined with elevated open interest, this positioning profile has mildly bearish

implications for the roll into first notice day on 28-May-2026.

Anecdotal evidence and investor discussions suggest directional positioning remains

skewed long, while elevated global and domestic uncertainty could encourage asset

managers to bring forward roll activity rather than wait. Given their long-futures exposure,

accelerated roll activity from asset managers could exert downward pressure on the M6/

U6 roll into first notice day.

Exhibit 2: ICE aggregate positioning in gilt futures since March Exhibit 3: Weekly changes in ICE aggregate gilt futures

2025 positioning since March 2026

Contracts, '000 Weekly changes in contracts, '000

450 -120 30

400 -140

350 -160

300 -180 -10

-20 250 -200

-30

200 -220

-40

150 -240 -50

100 -260 -60

50 -280

Mar-25 Jun-25 Sep-25 Dec-25 Mar-26

Asset Managers Leveraged funds (rhs, inverted) Asset Managers Leveraged Funds