Curve trades?

This note discusses why curve trades have been avoided until now, and how market momentum and economic data have recently changed opening up opportunities for new curve trades.

There is also an analysis of how the curve has behaved in past periods of decelerating household credit, showing that curve behaviour this time around is very different (and uncomfortably so).

In order to avoid very large rolldown and carry costs, the research note highlights forward trades which should perform well in certain circumstances.