/EUROPE ROLL UPDATE: Gilt futures H9/M9.......>

BONDS: /EUROPE ROLL UPDATE: Gilt futures H9/M9 roll continues to be heavy ahead

of Feb 27 First Notice date. We estimate it to have been 39% complete as of

end-Friday (26 perc. point rolled Friday), with roll activity Monday pointing to

around 51% completion as of midday.

- Eurex Last Trade date is Mar 7.

*Roll complete est. as % of open interest end-Feb 22 / pp Change on Feb 22:*

DE - Schatz (2Y). . .3.2% / 0.6%

DE - Bobl (5Y). . 5.0% / 0.8%

DE - Bund (10Y). . .7.9% / 0.2%

DE - Buxl (30Y). . .2.6% / 0.8%

IT - BTP (10Y). . .15.3% / 1.2%

FR - OAT (10Y). . .5.4% / 0.8%

GB - Gilt (10Y). . .39.0% / 26.3%