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Commerzbank Like Some Steepener Plays

EURIBOR

Commerzbank write “with the market pricing out rate cuts the Euribor Jun24/Dec24 spread steepened to -61bp.”

  • •“The Euribor curve in these expiries is very directional, steepening as rates rise and vice versa.”
  • •“Even-weighted steepeners in Jun24/Dec24 contracts look attractive, as this is the most inverted part of the strip and offers positive roll.”
  • •“An outright-neutral (regression-weighted) position could be considered in the Sep24/Mar25 spread (buying the Sep 24 vs the Mar 25 contract with a ratio of 1:0.87), a position that should benefit from the relative flatness.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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