Gents (and Ladies)... I am trying to structure a flattener trade in the Italian 2s/10s BTP futures. The Bloomberg Index would indicate that, in the paper, there's about 265bps between the two positions at the moment; Bloomberg also says that the ratio for the futures is 4 to 1 (short four 2's for each long 10). This is all fine - except - when the futures roll out from Dec12 to Mar13 the CTD two year future becomes a different security and this security has a much higher yield of 2.3%, 20bps over the current CTD . The 10yr CTD doesn't change and currently yields 4.75% ...... So if I try to put the flattener on in the Mar13 futures I'll actually be getting it on at far worse level, about 245bps rather than the current 265bps .... Is there any way I can avoid this? And, if not, can anybody hazard a guess as to why the next CTD Italian two year is yielding so much more? Many thanks for any help, Daniel.