Subject:        	TYZ/TYH ROLL SHOULD NARROW/Roll longs now  Date sent:      	Mon, 26 Nov 2001 15:24:12 +0000    Recommendation: Roll long TYZs now at 39/32 or roll short TYZ later in week 2 to 3/32 lower.
Rationale: The TYZ/TYH roll will be impacted by a number of factors.
Most important, we believe, will be changes in the contract's cheapest-to-deliver caused by market movements.
Changes in CTD will change the amount of net positive carry that is the primary determinant of the TYZ/TYH roll's value.
For example, The TYZ/TYH roll priced using the 6.5% 2/10 has 35.75/32 of net carry, while the roll priced with the 4.7% 11/08 has only 28.5/32 of net carry.
|------------+--------+--------+--------|

fyi:  TYZ/TYH ROLL SHOULD NARROW/Roll longs now
Subject: TYZ/TYH ROLL SHOULD NARROW/Roll longs now Date sent: Mon, <NUMBER> Nov <NUMBER> <NUMBER>:<NUMBER>:<NUMBER> <NUMBER> Recommendation: Roll long TYZs now at <NUMBER>/<NUMBER> or roll short TYZ later in week <NUMBER> to <NUMBER>/<NUMBER> lower.
Rationale: The TYZ/TYH roll will be impacted by a number of factors.
Most important, we believe, will be changes in the contract's cheapest-to-deliver caused by market movements.
Changes in CTD will change the amount of net positive carry that is the primary determinant of the TYZ/TYH roll's value.
For example, The TYZ/TYH roll priced using the <NUMBER>% <NUMBER>/<NUMBER> has <NUMBER>/<NUMBER> of net carry, while the roll priced with the <NUMBER>% <NUMBER>/<NUMBER> has only <NUMBER>/<NUMBER> of net carry.
|------------+--------+--------+--------|
primary determinant narrow roll long tyzs contract cheapest deliver ctd change net market movements changes positive carry lower rationale date sent mon