The MSCI EM roll is trading cheap to fair value and cheaper than its average  roll cost over the past 3 years, but richer than last quarter. However, the roll has  barely started to trade and may have a significant price adjustment to a clearing  level once it becomes more active this week. While last quarter’s roll exhibited  mixed trends, the EM contract cheapened strongly the prior 4 quarters, the roll  is currently trading at a richer level than the past 2 quarters, and positioning in  EM futures appears to have deteriorated, so we believe the roll is likely to  cheapen into expiry (once it finds a tradable level) and recommend rolling longs  late/shorts early.

 The MSCI EAFE roll is indicated cheap to fair value; however, it effectively  hasn’t started to trade and bid/offer is wide, so there will likely be a sizable  price adjustment to a tradable level once the roll spread begins actively trading  later this week (as has occurred frequently in the past). Last quarter, the MSCI  EAFE roll was relatively well-behaved again, but exhibited an overall modest  cheapening trend. Investor positioning in international developed market  equities appears little changed to slightly weaker vs. last quarter, so we  anticipate a roughly neutral trend for the EAFE roll again this quarter (once a  tradable level is established) like in the past 5 quarters, though with a slight  cheapening bias.