While futures are slowly getting reacquainted with gravity, following both the realization that the bailout was a failure, and seeing past the feeble attempt of the ECB to ramp up Spanish and Portuguese bonds (with Dupoint slashing 2012 outlook not helping) there is one indicator that has outright rejected this day's daily Hopium, and has tumbled to levels last seen at the beginning of the month, when the global Fed FX swap line rate cut was announced in a last ditch attempt to prevent Lehman 2.0. It is the all too critical primary FX liquidity mismatch indicator - the 3 month EUR-USD basis swap, which has fallen 9 bps to 126 bps, the biggest intraday drop since November 29, and the lowest since December 2, with the 1 month basis swap following. In other words, politicians can pretend and talk up the prospects of future bond issuance and crisis resolution, but the market has already spoken and once again demands the ECB (or the Fed) or else the prospect of another imminent liquidity lock up is fast approaching just like at the end of November, and with it rumors that a certain French and/or German bank will fail.
Chart: BBG
