Buy EUR Long-End Receivers vs Selling JPY Gamma Rally: SG
Source: BFW (Bloomberg First Word)
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Vincent Chaigneau (Societe Generale SA)
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UUID: 7947283
(Bloomberg) -- Collapse of JPY long-maturity rates has widened the EUR/JPY 30y spread, which is likely to favor Japanese investors’ re-balancing abroad, Societe Generale strategist Vincent Chaigneau writes in client note.
Alert: HALISTER1- Value in buying EUR long-tail receivers vs JPY after the recent increase in JPY long-tail gamma
- Buy EUR 2m30y ATMF receivers vs JPY 2m30y ATMF receivers, PV01 and FX-weighted
- Augmented ECB purchases, positive cash flows and looming risks are supportive for EUR long end
- Next bullish bonds wave is thus likely to benefit EUR long- maturity rates relative to JPY, contrary to the most recent move but in line with long-term correlations
Source: BFW (Bloomberg First Word)
People
Vincent Chaigneau (Societe Generale SA)
To de-activate this alert, click here
UUID: 7947283