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EUROPEAN INFLATION: SocGen Recommend Receiving EUR 2y2y Inflation Swap

EUROPEAN INFLATION

SocGen recommend tactically receiving the EUR 2y2y HICP swap at 2.05%, targeting a move to 2.20% over the next quarter.

  • “With inflation likely to remain stickier than the market believes, we think a further rally in terminal rates is unlikely, while some investors may enter longs in inflation tactically”.
  • “With 2y2y and 3y2y HICP at c.2.05%, we believe these are attractive levels to fade the recent move, with inflation likely to surprise relative to what is priced in at the front fixings (or consensus among economists)”.
  • “The spread between 5y5y and 2y2y HICP is at a historical high, so tactical flatteners also make sense”.

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