Euribor – June 2010

Nicole Elliott from Mizuho Corporate Bank at 01/21/10

Comment: Schatz and Bobl futures rallied back up close to record highs as they reverse the nonsense suffered over Christmas. Very good volume in this futures contract last week, and rising open interest, suggest many are late to the party – Libor down to 0.615 this week and Euribor still 5 basis points over. Another tiny right-angled ‘triangle’ has been building over the last six working days and the 9-day moving average should cause an upside break imminently. We continue to favour a move to the measured target of the larger right-angled ‘triangle’ of November/December which is a minimum of 99.150 and more likely 99.300/99.350 (contract highs for Dec09 and Mar10).

Strategy: Buy at 99.090/99.050; stop below 99.000. Next target 99.150, then 99.225/99.300.