CORRECTED BANK. Federico Manicardi and.........>

EGBS: CORRECTED BANK. Federico Manicardi and Guneet Dhingra at MS assess the

Eurex futures contract rolls that are beginning.

- MS are mildly bullish on the Schatz, Bobl, BTP and OAT. They are mildly

bearish on the Bund and Buxl.

- Most roll assessments are being made on the basis of prevailing positioning.

However, for the Bund they write "the absence of a bias in positioning and of a

CTD switch will make the fair value driver prevail in this cycle".

- For the Buxl they observe an interesting pattern that "evidence from previous

cycles suggests that the roll has some tendency to cheapen as it approaches

first notice"

- For the BTP contract they say that the roll is rich mostly because of the

cheapness in the back contract.