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/EUROPE ROLL UPDATE: H9/M9 roll is picking....>

BONDS
BONDS: /EUROPE ROLL UPDATE: H9/M9 roll is picking up strongly, with Eurex Last
Trade date ahead on Thursday March 7.
- As of midday Friday, our estimate is that another 5-8% of Schatz, Bobl, BTP
and OAT have rolled today.
- Roll completion est. as % of open interest at end-Feb 28/ Perc. change Feb 28:
 DE - Schatz (2Y). . .18.4% / 6.0%
 DE - Bobl (5Y). . .17.2% / 5.8%
 DE - Bund (10Y). . .23.6% / 4.3%
 DE - Buxl (30Y). . .8.3% / 2.6%
 IT - BTP (10Y). . .31.1% / 9.0%
 FR - OAT (10Y). . .23.0% / 8.9%

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