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Euribor – March 2010

Nicole Elliott from Mizuho Corporate Bank at 11/19/09


Comment: The German Treasury yield curve flattened over the last week as investors realise short-dates have little room for manoeuvre the closer they get to zero. This move should continue and gather pace, US TNotes leading the way so that these eventually yield less than their German counterparts. Slowly, and on rising open interest, the Euribor money market is beginning to understand that the ECB’s 1.00% target is not the lowest level for interest rates, the deposit rate currently paying 0.25%. Technically futures contracts are overbought but hopefully bullish momentum will increase pushing them higher, June10 and Sep10 with the better upside potential.

Strategy: Attempt small longs at 99.195/99.145; stop well below 99.090. First target 99.250/99.320 and possibly a little more.

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