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Citi Recommend Conditional EU 2s10s Conditional Steepener


Late on Friday Citi noted that “another bout of 2s10s steepening makes sense from a tactical as well as a longer-run perspective - and market pricing makes it enticing to monetize a scenario where the bulk of it comes from a richer front-end rather than a cheaper belly.”

  • “We recommend exploiting the 3-month vol. term structure as well as the shape of the 10y receiver skew to establish costless 2s10s bull steepeners, where the positive vol. pick-up helps mitigate the negative curve roll.”
MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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