Fri, Jan 9 2009, 09:53 GMT
by Nicole Elliott
Comment: Maybe not this month but soon the US Treasury yield curve should flatten as we face a world à la Japan. This March 2009 futures is inching towards the record high at 99.100 of June 2003 on hope that conditions in the finance industry improve dramatically. Relatively high open interest here, as opposed to other contracts where it is half last year’s peak, suggest many are hedging their bets. If money markets don’t improve, then calendar spreads should narrow and then invert. Three-month Libor today at 1.27% but there is huge variation depending on names.
Strategy: Possibly attempt small longs at 99.050 but be prepared to add to 99.000; stop/reverse below 98.800 for 98.200. Upside target: 99.100/99.150.
Published on Fri, Jan 9 2009, 09:59 GMT
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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