Halister News

(Bloomberg) -- Don’t expect the U.K. to vote to leave the EU; steepener trade tries to capture upside of rising Brexit risks while limiting downside if polls start to point more clearly toward a remain vote, SocGen strategists, including Jason Simpson, write in a note.

• Enter 5-yr fwd 5s10s steepeners at 10bp, target 25bp, stop 2bp; carry 0.75bp per month
  • Buy 2% Jul-2020 on asset swap versus selling the 5% Mar-2025 at 14.5bp spread; target 20bp; stop at 12bp
• 5Y inflation swaps should benefit from a weaker GBP and see longs in 5-year RPI swaps are the best way to express the inflation risks surrounding Brexit
  • Target a move down to 25bp