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EGBS: /SWAPS: ING Continue To Favour 20s30s Swap Steepeners On Pension Reform

EGBS

ING continue to favour a 20s30s swap steepener, as demand for fixed receivers amongst Dutch pension funds remains elevated ahead of the transition to a defined contributions model.

  • Since ING’s last update in May, “more pension funds have delayed their intended transition date to a defined contributions model”.
  •  “The new defined contribution model reduces the need for fixed receiver swaps for 30 years and beyond”.
  • “We therefore believe that funds will already move to 20y tenors to steer interest rate risks until the transition”. 
  • “Our fair value model for the 20s30s on the swap curve suggests a potential steepening of around 20bp in the coming months”
  • “A key risk to our steepener view would be a revival of eurozone or US inflation, but the momentum seems to be in the right direction at the moment”.
CEEMEAEurozoneBulletGlobalFixed Income BulletsRegion
CEEMEAEurozoneBulletGlobalFixed Income BulletsRegion

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