HALISTER1: Increase Portfolio Convexity on ECB Policy Easing: UniCredit

Increase Portfolio Convexity on ECB Policy Easing: UniCredit

(Bloomberg) -- Very low yields and high uncertainty suggest it would be a good time to increase portfolio convexity, UniCredit strategist Luca Cazzulani writes in a client note.
  • Recommends short 10y vs 5y and 30y on the bund curve
    • Short 7y vs 2y and 30y on the swap curve
    • Short 10y vs 5y and 50y on the French curve
    • Short 5y vs 2y and 30y on the BTP curve
  • Number of barbells on the EUR swap curve are trading expensive compared to their 5-yr avg with 2s7s30s being one where the belly is most expensive
  • Mid-section of the curve stands out as expensive relative to the wings which creates the possibility to set up convex positions at relatively attractive levels
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
2539Z GR (European Central Bank)

People
Luca Cazzulani (UniCredit SpA)

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