November 1,2003
Euro$ vs Euribor quotes
EDM4 vs Jun4 Euribor trades at .84 , We are short 20 EDM4/ long 18 Jun4 Euribor at .87 , and at .80 .
ED Red vs Euribor Red EDZ4 vs Dec4 Euribor trades .50 bp's We are Short 20 EDZ4/ long 18 Dec4 Euribor at .59 and at .50bp's . Over the past few months, we have been short Euro$ / long Euribor based on US GDP growth is expected at + 4%, with ECB growth expected at .5 to1%, the ECB may cut rates in the 4th Quarter. Spot 3mo spread still trades around 1.00 bp's We have been trading these spreads for months and have taken several .15bp's profit.
ED Green vs Euribor Green Green Spreads and FV/Bobl

Dec3 Schatz - TUZ3 yield spread trades .79 bp's (chart HFZ3 ZTZ3) quote
We will Sell 10 TUZ3 (Electronic ZTZ3 ) / buy 18 Dec3 Schatz at .85 to .90bp's Ratio: 100 TU 179 Shaz
Cash 2Yr Euro - 2Yr US yield spread trades .84 bp's , with Cash 2yr Euro trades 2.69 vs US2yr at 1.85 bp's
Dec3 Schatz - US2yr yield spread trades 1.25 bp's (chart HFZ3 V4Y0) We are long 85 Schatz / short $10mm 2Year at 1.40 bp's, with an objective to 1.20bp's
Dec3 Schatz - TUZ3 Price Spread trades 1.57 (chart TUZ3 - HFZ3 ) Ratio: 100 TU 179 Shaz
Ratios 1 bund - 1.71 bobl, 4.15 shaz, 3.20 euribor
1 bobl - 2.43 shaz, 1.87 euribor
1 shaz - .771 euribor

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