Report
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.
Provider
Natixis
Based across the world’s leading financial centers, Natixis CIB Research offers an integrated view of the markets. The team provides support to inform Natixis clients’ investment and hedging decisions across all asset classes.
Cyril Regnat
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