Euro−Bund future – March 2010

Nicole Elliott from Mizuho Corporate Bank at 02/08/10

Comment: With Schatz futures closing at a new record high, and Bobls not far behind, it comes as no surprise Bund futures were hauled up to close at their best since March 2009. Also interesting to see that 30-year paper has outperformed although the yield curve remains historically very steep. Though overbought, bullish momentum has increased slightly. On a break below 3.09% we expect benchmark ten-year yields to rush re-test last year’s record low at 2.85%.

Strategy: Buy at 124.15/123.65; stop well below 123.45. Add to longs on a weekly close above 124.70 for 126.50 medium term.