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Thursday is last trade for Eurex futures.......>

EGBS
EGBS: Thursday is last trade for Eurex futures contracts.
- A market source is fairly neutral on Schatz, Bobl, Bund and BTP futures but is
moderately bullish on the Buxl and slightly bearish on OATs.
- For the Buxl, CTDs are the same so the roll will be influenced by repo,
positioning and flow. Open interest is on the high side and real money is
thought to have an underweight bias that could push the roll higher.
- For the OAT, the source believes that real money accounts have remained long
as should depress the roll.
- While neutral on the Schatz roll, it is the most directional because of the
extension in the duration of the CTD. Thus Mar-18 as a 1/4 tick high risk for a
1bp change in the CTD yield. Thus the roll widens in a sell-off and vice versa.
Again, the open interest is elevated for the Schatz but real money positioning
is mixed.

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