Interest Rates House - BNP Paribas

The market dynamic that existed before the euro curve's unexpected and sharp inversion was characterised by hordes of structured interest-rate players selling bundles of constant maturity swap (CMS) structures, particularly with digital triggers. Meanwhile, institutional and private banking clients swarmed around yield curve spreads and played the differential between the euro and US dollars with abandon. But given the incredible dislocation of the inversion in June, the market has become

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