Eurodollar Future – March 2012

Comment: Credit spreads widening out again, much of the Eurozone at extremes and US five-year CDX as wide as it was in May 2009. TBond yields are leading the way to a flatter US curve, TNotes yield just 90 basis points over JGBs and twenty under Bunds; these trends are expected to continue. All Eurodollar contracts are down about 50 basis points from the summer’s highest prices, dragged by many worldwide banks who are struggling to fund their dollar books – and the threat of yet more

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