###POV. MNI's Positioning Indicator, Pi........>

EGBS: ###POV. MNI's Positioning Indicator, Pi looks at movement in open interest

and market direction to determine the latest flow into the market. For example,

if prices are rising and open interest leaping, then we assume fresh longs are

coming in and we report that the market is long.

- As with all these indicators, it feels natural to assume that the last

position to enter is the first to leave, so in our example, the longs sell and

the price drops. But this assumption needs testing.

- When we statistically test out Pi output against future price action we find

that signal differ according to each contract. The strongest signalling content

is for the Schatz contract, followed a long way back by the OAT than BTP and

Bund. We do not find much signalling content for the Obl or the euroBuxl.

- At present, MNI Pi shows that the market is slightly long in the Schatz

contract and Bund but short in the BTP.