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Mathema May 2012 Global Investment Insight Report

Mathema May 2012 Global Investment Insight Report

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Published by: chris_clair9652 on Jun 21, 2012
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09/19/2013

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•After edging downward in the first quarter from
December 2011 highs the Eurozoneten-year swap
spread stayed on an upward pattern in April and May
with increased volatility, appearing to incorporate less-
clear information regarding changes in expectations of
future economic activity

•After tapering off at the end of January and staying on a
declining pattern for the rest of first quarter, the
annualized ten-day rolling window volatility of the U.S.
dollar swap spread climbed at the end of May, tripling
from March month-end lows, appearing to reflect more-
negative expectations about the aggregated likelihood of
default prevailing among market participants.Markets
factored in concerns about a contagion effect in the
Eurozone, triggered by the banking crisis worsening in
Spain and peripheral countries’debt sustainability. An
early propensity to risky assets investing that dominated
investors’agenda in the first quarter reversed to a risk-
off mode in April and May

Percentage

Basis Points

LeadingIntelligence & IndependentInsight

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