Euribor – March 2010

Nicole Elliott from Mizuho Corporate Bank at 11/12/09

 

Comment: Over the week some investors woke up to the delights of five-year treasury paper seeing as two-year yields are at record lows of 1.00% or less (as are many index-linked issues). This has helped Euribor contracts higher, where massive volume (especially in front March) on Thursday and Friday hint at many changing their minds. Three-month Euribor is about 5 basis points higher than Libor, a fact which must be taken into account on delivery. Technically futures contracts are overbought but with increasing bullish momentum they have further to go, June10 and Sep10 with the better upside potential.

Strategy: Attempt small longs at 99.190; stop well below 99.090. First target 99.250/99.320 and possibly a little more.