The trades below have all had a bias for higher rates and inflation and were based on the following views.
1. The ECB would lift growth and inflation expectations.
2. US rates would be higher, reflecting stronger growth and Fed hikes drawing closer.
However, as rates have continued to decline over the summer and weak EUR data has contributed to lower inflation expectations, we have now reached the stop levels.
Pay 5Y fixed EUR inflation at 1.22%, Stop out at 0.95%, loss of 27bp on ½ position including roll-down.
Pay 2s15s, 1Y forward, ½ entry at 170bp, final ½ position at 153.5bp, atop out at 139bp, average loss of 23.1bp on full position including roll-down.
Pay fixed 15Y15Y EUR swaps, ½ entry at 2.745%, stop out at 2.30%, loss of 44.5bp on half position including roll-down.
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