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Euribor – December 2010

Nicole Elliott from Mizuho Corporate Bank at 02/18/10


Comment: The German Treasury yield curve is terribly steep as other maturities cannot keep up with Schatz yields which have dropped to a new record low at 0.958%; yesterday’s auction carried a coupon of 1.00%, the lowest ever and the ECB’s target rate. Euribor futures continue to post new record highs almost daily, and soaring open interest this month (on decent volume) in this Dec10 contract suggests many are hedging for year-end. We continue to feel that futures contracts will move towards Libor, which in turn might inch fractionally lower.

Strategy: Buy at 98.760, adding to 98.675; stop below 98.570. Next target 98.860, then 98.960.

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