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/EUROPE ROLL UPDATE: Gilt H9/M9 roll was......>

BONDS
BONDS: /EUROPE ROLL UPDATE: Gilt H9/M9 roll was around 61% complete as of
end-Tuesday, as Wednesday's First Notice date approaches. Around 70% complete as
of 1400GMT, by our estimates. Eurex rolls yet to really pick up though Bunds and
BTPs are over 10% complete.
- Roll completion est. as % of open interest at end-Feb 25/ Perc. change Feb 25:
DE - Schatz (2Y). . .4.5% / 1.3%
DE - Bobl (5Y). . .6.1% / 1.1%
DE - Bund (10Y). . .11.3% / 3.4%
DE - Buxl (30Y). . .2.7% / 0.1%
IT - BTP (10Y). . .16.6% / 1.3%
FR - OAT (10Y). . .6.6% / 1.2%
GB - Gilt (10Y). . .60.9% / 21.9%

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