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US TNote Future – March 2010

Nicole Elliott from Mizuho Corporate Bank at 12/01/09


Comment: Dragged kicking and screaming, investors are being forced to buy US Treasuries, reluctantly accepting that five-year paper yields more than short-dates. These have managed a decisive break below the pivotal 2.125% and it is just a question of time before benchmark ten-year TNote yields break decisively below their equivalent 3.25%. A monthly close below here (hopefully today) would cause a one-off shift in the structure and level of interest rates - permanently lower and eventually flatter too. Likewise a weekly close above 120.00 on the March 2010 futures contract. The yield differential with JGB’s should narrow too.

Strategy: Buy at 119.22; stop below 118.16. Add to longs on a daily close above 120.00 for 121.00/121.16 short term, then 124.00.

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