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RBC: Receiving 3-Year EFP Still Isn’t A Great Carry Trade, But It Is Getting A Bit Better

AUSSIE SWAPS

RBC note that “3-Year EFP has widened out to almost where it was at the Dec roll. But after including carry (which we approximate by charting forward-starting 3-Year EFP), it’s still been profitable to the tune of ~3.4bp to have been received. June 3-Year futures appear to be about 2.5bp cheap to physicals, while 3-month of carry on receiving 3-Year swap is worth about 3.5bp (though roll is negative). Receiving 3-Year EFP still isn’t a great carry trade, but it is getting a bit better, especially as swap spread volatility has also settled since last year.”

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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