Interest Rates Daily--Wins & losses
Long-building steepening momentum came to a halt last Friday as a higher-thananticipated NFP number impacted EUR markets too. Lower odds of hard landing
应用介绍
Long-building steepening momentum came to a halt last Friday as a higher-than
anticipated NFP number impacted EUR markets too. Lower odds of hard landing
scenarios led to higher terminal rates, as displayed by ESTR 1YF1Y topping 2.00%
on Monday, up from the 1.65% level that was priced at the beginning of the
previous week. While the NFP report was particularly strong, it is important to note
that steepener trades embed a very negative carry and roll profile. Hence after the
strong momentum built up in past months, it is likely in our view that part of the
move was aided by tight stop-loss triggers rather than by a complete reversal in
market sentiment.
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