EUR 2Y-5Y steepener

Both the 2Y-5Y and 2Y-10Y segments of the swap curve have been recovering since late March . We believe the steepening in the 2Y-5Y segment will continue ahead as the ECB cuts rates more aggressively while the 5Y suffers from the EZ economic recovery. We will enter at -43bp (vs ER6m) , setting the target and stop of the strategy at respectively -25pb and -50pb. The horizon of the strategy will be 3 months. The carry & roll-down of the strategy is positive with a cumulated 10.5bp protection over 3 months (forward value at -39bp).

A welcomed slowdown in job creations

Un ralentissement bienvenu des créations d’emploi