Tactical Long 30Y Swap Spread Closing

Crédit Agricole is closing its tactical long 30Y USD swap spread trade to lock in an 11bp profit.

Key Takeaways

• 1.Closing the tactical long 30Y swap spread trade to protect an 11bp profit.
• 2.Swap spreads have widened as volatility declined, showing an inverse correlation.
• 3.Long-end spreads are now positively correlated with the curve, a shift from earlier in the year.

Table of Contents

• Closing: tactical long 30Y swap spread
• Interest Rates Research advanced tools
• 1 - Fundamentals
• 2 - Bonds
• 3 - Derivatives
• 4 - Flows and supply
• Red Mount Analytics
• Our new interactive data website features:
• Global Markets Research contact details
• Certification
• Alex Li
• Valuation and methodology
• Disclaimer

Document Preview

Page 1 of 5

Subscribe for full accessStart Free Trial