the risk to the trade is a further rise in 3m30y US
Every indexed document
Browse the released records by type and release. Open any document to read its text and jump to the official source.
66,700 documents
USD is also likely to strengthen. The positive
a further rally in the USD may catch investors under positioned
bp of yield -4.1 -4.9 -6.9 -7.4 -5.1 -5.4 -5.9 -5.4 -5.0 -5.0 -4.3 -4.2 -4.4 -4.3 -3.3 -2.8 -3.5 -3.2 -2.6 -2.2
bp of yield 4.1 4.9 6.9 7.4 6.5 7.5 9.6 10.0 10.4 11.5 13.4 14.1 17.0 18.5 19.2 19.6 23.8 24.2 23.8 23.8
% 1.14 1.34 1.77 2.13 1.24 1.43 1.83 2.17 1.44 1.62 1.96 2.25 1.81 1.92 2.17 2.38 2.04 2.12 2.32 2.47
% 1.31 1.54 2.05 2.44 1.49 1.73 2.23 2.60 1.84 2.08 2.51 2.84 2.50 2.65 2.95 3.21 2.98 3.08 3.28 3.47
under the selloff scenario where forwards converge to the levels implied by the median Fed dots(*)
which we recommend as an alternative for
the payer skew appears just fair in 2y1y
2y2y and 2y1y that the selloff would be largest (75-85bp
FX & EM 2017 Year Ahead | 16 November 2016
equivalent to 17bp of yield. We target a PNL of
and the BoJ defending its JGB yield target. We do
partly financed with a 150bp-wide 3m30y strangle
USDCNH calls are attractive in our view. A stronger USD adds pressure to
we think vol and skew have room to reprice higher compared to the repricing
vol is cheap vs rates and the skew the least expensive in that sector.
we see room for the belly of the curve to reprice to the dots. 2y1y should
and the credit remains a solid BB+ fundamentally