Euribor – March 2010

Nicole Elliott from Mizuho Corporate Bank at 11/27/09

Comment: Five-year German and US Treasuries outperforming as investors reluctantly move out along the yield curve, while index-linked paper is at or close to record low yields. An overdue reality-check for banks in thin market conditions but at the moment there is no way the ECB will let any bank run short of money over the year-end. What many believe to be the final one-year tender will be on the 16th December. ‘Too big to fail’ will have to be reviewed next year, with cash-strapped governments and furious votes less likely to agree to further support measures. This money market futures contract has stumbled but should find support around 99.100. We still shall allow for a move to a new contract high, front September having greater upside potential.

Strategy: Attempt longs at 99.130; stop well below 99.090. First target 99.215/99.250 and probably 9.320.