Euro−Bund future –Dec 2009

Nicole Elliott from Mizuho Corporate Bank at 11/30/09

Comment: Strong weekly closes here and in Conf and TNote futures mark a break from the ranges that have held since July. For confirmation we shall watch benchmark yields to see whether they start holding at lower levels, possibly with JGB’s leading the way along with US five-year. Though overbought the need to roll into the March contract might keep momentum at its current very strong level in Bunds. We continue to favour another move higher into year-end.

Strategy: Attempt longs at 123.60, adding to 122.85; stop below 122.70. Add to longs on a daily close above 123.75 for 124.00/124.60 and probably 125.00.