***Hearing that macro account has been........>

BUNDS: ***Hearing that macro account has been selling the Bobl contract today,

likely increasing shorts. Algo accounts have been bailout out of longs on the

Bund this afternoon as momentum indicators turn south. In the strong market up

until Wednesday morning, open interest had built quite aggressively but sources

want to see how OI changes when released next week - it should decline

substantially.

- MNI-Pi, positioning indicator calculations show longs in the Schatz and the

BTP but short in the Bobl.

- Note that there is E50bln of coupon and redemption payments next week but

hardly any scheduled issuance (E9bln). Ad in maybe another E10-15bln of PSPP and

the potential buying is large. 

- Looming larger still is an ECB taper announcement on Thursday where the

consensus is very tightly held A change to E30-40bln APP for 9 months.