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.
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fyi:  TYZ/TYH ROLL SHOULD NARROW/Roll longs now