Report
Euribor 6M 2s10s steepener
The repricing of the short part of the curve in $ seems to us to have reached a significant ceiling in the implicit soft guidance provided by the Fed in its DOTS plot . In periods of high uncertainty, € rates are driven by the US curve and the inflation and activity outlook seems less uncertain in the eurozone. We choose to express this view on the € curve with a Euribor 6M 2s10s steepener , to the extent that the risk of a curve position now seems asymmetrical and biased towards re- steepening. We enter the position at - 49.5 bp with a target of 0bp , with a 3 - month horizon ( stop loss at -75bp) .
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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.
Benoit GERARD
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