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USD Rates: Position For Flatter Curve‏

Published 08/29/2013, 05:53 AM
Updated 05/14/2017, 06:45 AM
Trade 1: Buy 6M2Y ATM USD3M payer, sell 6M5Y ATM USD3M payer

- Delta neutral ratio, so buy 2.4 6M2Y payer per sold 6M5Y payer

- Premium to be received 58ticks, position is net short VOL at entry

- 2Y leg: Spot ref:0.55%, 6M ATM forward / strike 0.85%

- 5Y leg: Spot ref:1.75%, 6M ATM forward / strike 2.10%

- Stop loss if mark-to-market value of the package reaches 116ticks

Trade 2: Buy Jun'16 Euro$ futures (EDM6) vs. selling Jun'15 (EDM5) futures

- Enter first half position @ 113bp. Option to scale further in @ 125bp

- Take profit @ 80bp, stop loss @ 140bp. 12M roll-down is 51bp.

To Read the Entire Report Please Click on the pdf File Below.


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