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Question regarding BTP /BTS Eurex Future

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03-01-2012 , 10:49 AM

fullcontact

grinder

Join Date: Aug 2007 Posts: 487

I have a question regarding the BTP / BTS Eurex future. How is it possible that the spread between the BTS and BTP future is negative for the March 08 expiry? (Short BTP, long BTS)

BTP = 10-year ITALY Bond future.
BTS = short-term ITALY Bond future.

Thank you for your answer

-- implied repo rate?

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