Hi everyone,Could FDAX or anyone else help me with this ? Let's look at the current yield curve. What are your views on it? Say, I want to play the steepening of the 10/30 year or the 5/10 year, could you guys and girls give me some strategies possible ?ThanksPS: is this bundleable into a structured products ? (I guess so)

Some arbitrage you got going on there, my friend Given that you want to play a steepening of the 5/10, you would sell Bunds buy Bobls on a delta neutral basis. Ditto for 10y/30y.This trade leaves you slightly exposed to changes in the respective basis. However, give, the volatility of the 5/10 year spread, this is not relevant.That's pretty much the only strategy you can use to play the 5/10 year steepening/flattening. Everything else woul include other factors.You can structure everything into a single product, after all any portfolio can be bundled.Hope this helps.

Thanks. In fact, it's specifically the 10/30 game i would like to play. Is there any other way that spreading the underlyings, ie: buy/sell 30y against sell/buy 10y. I heard there was a 30y future on Bonds (BUXL on Eurex), but it seems not to be traded. Is there any other way to play those changes in yield/rates ? Like Eurodollar futures against Euribor or sterling...

Well, then you have a problem, as the Buxl (FGBX) is indeed not traded. You can't use EURIBOR against Eurodollar, those are completely different curves, in different currencies.Apart from that, EURIBOR futures are only liquid 3 years out and do not extend beyond 5 years. While Eurodollars are liquid out to 10 years, that's a USD curve, and still doesn't give you 30y exposure.So now, the only way you can do it in the EUR curve is do FGBL (Bund future) vs. 30y cash bonds.Alternatively, if you are not really constrained to trading the govie curve, the purest way to actually trade that would be with a FRA spread. So you would do a 120x123 FRA against a 360x363 FRA... that is the purest way to trade the tilt.Hope this helps.

You mentioned structured products...therefore you might want to consider a spread option on two rates, perhaps two Constant Maturity Swap rates (on different currencies), this enables you to have optionality on changes in the curve, you'll pay up in terms of spread for one of these since your leaving the dealer with a hedging nightmare but you can set it up to your specific needs, maturity/strikes etc.. You also know your maximum downside - the premium paid.Hope this helps.

Like you say : Pain...lots of Pain ! Let me go back to the "curve riding" basics. Unfortunately for me, I can't trade the cash, but only the futures or certainly the FRAs...Anyway, thanks for the advice and explanation. You'r a reference for sure.

CMS, i did not think of it, thanks. I'll have a close look.

QuoteOriginally posted by: FDAXHunterAlternatively, if you are not really constrained to trading the govie curve, the purest way to actually trade that would be with a FRA spread. So you would do a 120x123 FRA against a 360x363 FRA... that is the purest way to trade the tilt.Uhm... I don't think that's correct? That wat you're trading a spread between two short rates far ahead in the future, which as far as I understand is not what our friend is after.My suggestion is: if you're acting on behalf of an institution and not out of your own pockets, pay 30y v Eur 6m and receive 10y v the same floating leg (two interest rate swaps, that is). That's extremely liquid (whereas you're gonna be ripped off on a spread option, unless you got extremely good analytics, and even then the bid-offer is gonna be serious), and should do the job quite well, although they'll ask you to trade it in a decent size.

Sorry ringho, I am in a position where i need to find ways to go about it without trading the cash, ie: 10y and 30y. Only bond futures or IR futures.Thanks anyway.