Value in Leveraged Conditional Rolldown in EUR Rates Belly: SG
Source: BFW (Bloomberg First Word)
Tickers
2539Z GR (European Central Bank)
People
Adam Kurpiel (Societe Generale SA)
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UUID: 7947283
(Bloomberg) -- Accommodative status quo from ECB implies value in leveraged conditional rolldown trades in the belly of the EUR curve, where rates have the highest chances of staying below forwards, Societe Generale strategist Adam Kurpiel writes in client note.
Alert: HALISTER1- Buy EUR 6m5y2y ATMF/-25bp mid-curve 1x1.5 receiver spread
- EUR 5y2y forward now offers the best absolute rolldown ~7bp/6-mo.
- Risks: unlimited losses if the 5y2y rate decreases below 0.18%
Source: BFW (Bloomberg First Word)
Tickers
2539Z GR (European Central Bank)
People
Adam Kurpiel (Societe Generale SA)
To de-activate this alert, click here
UUID: 7947283