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/EUROPE ROLL UPDATE: Very heavy rolling.......>

BONDS
BONDS: /EUROPE ROLL UPDATE: Very heavy rolling volumes Monday/Tuesday should see
several Eurex contracts' H9/M9 rolls on the verge of completion by the end of
Tuesday.
- We estimate that Schatz/Bobl/Bund rolls will be around 80-90% complete by the
end of Tuesday, with Bobl, BTP, OAT and Buxl lagging slightly.
- Reminder, Eurex Last Trade/First Notice date is Thursday.
*Roll completion estimate as % of open interest, end-Mar 4/ Perc. chg on Mar. 4:
DE - Schatz (2Y). . .64.1% / 28.0%
DE - Bobl (5Y). . .61.0% / 31.0%
DE - Bund (10Y). . .65.2% / 28.1%
DE - Buxl (30Y). . .42.8% / 26.6%
IT - BTP (10Y). . .64.4% / 24.3%
FR - OAT (10Y). . .54.6% / 22.1%
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