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Technical analysis: Euribor Futures

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Euribor – December 2008

Thu, Oct 2 2008, 07:48 GMT
by Nicole Elliott

Mizuho Corporate Bank


Comment: Investors currently view two-year Treasury paper as the ultimate safe-haven because anything shorter is distorted by chaotic money markets. This has led to a sudden sharp steepening of the yield curve, and a reappraisal of thirty-year Bunds, while the spread over US has (and should continue) to narrow. Mounting year-end pressure interbank sees Euribor calendar spreads close to their most inverted ever, with no let-up in sight. Three-month Libor (creeping up to 5.303%) over Bubill yield (from 4.30% on the 11th to 2.02% today) has widened dramatically as Eurozone investors wake up to the shaky banking system at home. This Euribor futures contract has bounced by more than we had allowed for, nevertheless we shall watch for cautious signs of topping this week.

Strategy: Possibly attempt tiny shorts at 95.080; stop above 95.175. Cover shorts ahead of 94.640 and watch for signs of basing.


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Mizuho Corporate Bank  | 1-3-3, Marunouchi, Chiyoda-ku, Tokyo 100-8210
http://www.mizuho-cb.co.uk | Nicole.Elliot@mhcb.co.uk

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