On the back of significant underperformance of the SEK 10Y segment and higher SEK volatility levels, we suggest:
Selling a 6m10Y SEK payer swaption with strike ATMF (1.25%), and buying a EUR 6m10Y payer swaption (against 3M) with strike ATMF + 20bp (0.84%). This yields an up-front premium corresponding to around 8bp in a SEK 10Y swap.
Alternatively, sell a 6m10Y SEK payer swaption with strike ATMF (1.25%) and get a premium corresponding to 16bp in the 10Y swap.
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