UST/Schatz Conditional Bullish Tightener to Hedge Risk-Off: SG
(Bloomberg) -- Fears of a long-lasting resurgence in global risk aversion won’t go away very easily as there is a pervasive perception that most central banks have exhausted their easing options, Societe Generale strategist Jamal Meliani writes in client note.
- Buy 100 TUU6 109.875 calls vs selling 150 DUU6 112.20; target 10/64, stop spread > 135bp
- Risk: front-end of the UST curve is vulnerable to a fading of Brexit fears and a return of risk-on trade, in which case both calls would be expected to expire OTM
- 2Y schatz may also richen vs swaps should the ECB drop the deposit limit on its PSPP purchases
Alert:
HALISTER1Source: BFW (Bloomberg First Word)
People Jamal Meliani (Societe Generale SA)
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