The position was open through two entries. The first half position was opened on 9 July at 152bp and the final half position was opened on 4 Sep at 118bp. Average entry 135bp.
The position is closed at an average level of 150bp including roll-down and we therefore book a profit of 15bp on the full position.
Belly at risk following ECB meeting
The ECB statement was more or less a repeat of the previous statement. The overall impression from today’s ECB meeting was that the central bank delivered a slightly less dovish message than anticipated. Draghi was not overly worried about deflation risks, a strengthening euro or the ongoing deleveraging in the financial sector and the impact from the next year's Asset Quality Review.
In our view, the ECB adds no support to the belly and given the latest rally in the 0-5Y segments of the curve, we judge it as prudent to book some profit at this stage.
This leaves us with recommendations for open spread tightening in 5y5y USD-EUR swaps as well as a US Vol. conditional 2-5 flattener. We keep these recommendations open as we believe they will continue to offer potential over the coming months.
See table of recommendations overleaf.
To Read the Entire Report Please Click on the pdf File Below.
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EUR Swaps: Book Profit On 2Y2Y/15Y15Y Steepener
Published 10/03/2013, 07:26 AM
Updated 05/14/2017, 06:45 AM
EUR Swaps: Book Profit On 2Y2Y/15Y15Y Steepener
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