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1、TRADEIDEA
2、REGIONPleaserefertoimportantinformationand05August2019MARdisclosuresattheendofthisreportG10INTERESTRATESTimeforcheapratehedgeswitheitherEUR700bnofECBassetpurchasesandinflationcloseto0%orstableinflationandaboveEUR1trnofAPP.Thelatterwouldveryagg
3、ressive,inKEYMESSAGESourview,andourcentralscenarioremainsthattheYieldsfor10yand30yBundshavealreadyreachedourECBwillcontinueitsAPPforsixtoninemonthsatend-2019targetsof-50bpand0%,respectively.TheEUR40bnamonth.Moreover,withthecurrentlevelscurrent10yBundyie
4、ldisconsistentwithstableinflationofinflation,leadingindicatorsandexcessliquidity,theandexpectationsofmorethanEUR1trnofECBAPP.30yBundyieldisnowasmispricedasitwasinThemispricingofthe30yBundversusitsintrinsicvaluesummer2016:ie,tradingtwostandarddeviationsi
5、sbacktotheextremeofsummer2016.belowitsintrinsicvalue.Figure2illustratesthatinWedonotexpecttheECBtoannounceafullpackageSeptember2016,acorrectionquicklyfolloweda(depositratecutandresumptionofAPP)atthedisappointingECBmeetinginSeptember2016.Septembermeeting
6、.Givencurrentimpliedhighexpectations,asimple10bpdepo-ratecutwithoutanGivencurrentoverstretchedvaluations,afterhavingAPPresumptioncouldtriggeracorrectioninyields.closedourbullishtradeslastweek(EUR5y5yrec,US10ylong),wethinkthatitwouldmakesenseforInvestors
7、couldbuysomecheapprotectiononthe30yinvestorstobuysomeprotectionagainsttheriskofaswap,inourview.Thecalendarofswaptionpayersmakesanattractivetradeinthecurrentmarket.riseinyieldsafterthisSeptember’sECBmeeting.TRADEIDEAWiththelikelihoodofratesstabilisingatt
8、heirlowsnearterm,duetoUS-Chinatradetensions,thepayerBuyEUR2m30yswaptionpayerat0.45%strike,calendarshouldbeanattractivetrade:ie,financingfinancedbysellingEUR1m30yswaption0.5%payer:thepurchaseofEUR2m30yswaptionpayer(0.45%Entry:4.25bp.Target:15bp.Stop-loss
9、:0bp.strike)withEUR1m30yswaptionpayer(0.5%strike)withanetcostlimitedto4.25bp.ShouldthemarketYear-endtargetreachedearlyselloffbyearlySeptember,thepositionshouldendWithrenewedUS-Chinatradetensions,10yand30yaroundflatafteratemporary
