Euribor – December 2008 |
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Comment: Anyone who sees Europe as a shelter from the global credit crunch must be in denial. We feel the spread of Schatz yields over two-year US TNotes should narrow to 80 basis points, maybe to flat. Almost record volume (and record open interest) in this futures contract last week shows that many have belatedly woken up to another potential year-end mega-crunch; bearish momentum is stronger than it has been since May 2000. Calendar spreads are close to their most inverted ever and the
Filed under: Technical
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