EUR 5s30s Steepener with Convexity Overlay

Macro RV PM | Rates | active

Trade Date: 2026-04-21 | Review Date: 2026-05-09

Market: EUR Swap Curve | Strategy: Curve | Direction: Steepener

Entry: -8bp | Target: 6bp | Stop: -16bp

Risk Capital: 1.25% | Conviction: 8/10

Rationale

Why this trade was submitted

Long-end term premium asymmetry and richer front-intermediate valuations support a medium-horizon steepening profile.

Catalysts: ECB communication drift, supply dynamics, and repricing of terminal rate assumptions.

Invalidation: Growth shock with flight-to-duration and persistent front-end repricing lower.