72 Hours



The next 3 sessions will be dominated by EZ headline risk. The first news came from the dollar swap facility at over 50B tapped. 59bp and the reduced stigma of everyone looking distressed increased activity dramatically. Futures term structures have eased some even as the reported set rounded up to 54. The next info will be the ECB meeting and what should be a "defining moment" presser afterwards. Finally, on Friday moving the needle toward fiscal ties and some form of EZ Quantitative Easing (various forms).

We remain strategically negative on the Treasury space and expect to be moving tactically in this window - particularly in the land of the big DV01. Our Christmas target for SPH is 1285 and 600 in roll down is attractive.

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