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SWAPS/SWAPTIONS: BofA: EUR Vol. Lower As Policy Shift Approaches

EGBS

Bank of America write “the dominant driver for the vol. dynamic has been expectations for a June ECB cut and the collapse of the near-tern uncertainty.”

“The term structure continues to trade steep consistent with relatively low near-term uncertainty.”

“The upper left side trades fair to marginally cheap to the upper right, which is expected as cuts start to be delivered.”

“Left side cheapening likely to extend out to intermediate expiries only when the market extrapolates near-term cuts into as proper easing trajectory.”

  • They continue to favour:
  • 5y1y ATM-25/-100bp receiver spread.
  • Receiving 2y1y €str.
  • They also like 6m fwd 2s5s bull flatteners at flat entry levels vs forwards.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBulletMarketsFixed Income Bullets

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