- Position opened at 1.150% on 25 October Closed now at 1.035%
- 1/2 position was opened, so profit is 5.8bp Position has performed strongly this week
The short-end in EUR swaps has performed strongly this week as European data continue to look weak. Further, there has not yet been any clarification of the situation in Spain or Greece.
Fundamentally we still like to receive in this segment of the swap due to the weak economic outlook and the attractive roll down.
Further, the position complements quite nicely another position we currently have open – to pay 10y 10y USD swaps – since it effectively turns it into a steepener position.
In general we see value in steepener trades with the major central banks printing more money and with the Fed lifting inflation expectations.
Hence, we stand ready to re-enter receivers in the 2y2y EUR rate if it moves towards the 1.15%-1.20% -level again.
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