0x3 USD FRA = 3 mth Libor = 0.26%- 6x9 USD FRA = 0.48%
- Diff = 0.22%
- 7x10 = EDM0 = 0.50%
- 13x16 = EDZ0 = 1.165%
- Diff = 0.665%
- +ve Carry = +44.5 bp over 7 mths = Appx 6 bp per month
- In event of re-emergence of credit fears, pressure on the front end will probably cause the spread to narrow.
- No room for widening due to rate cuts given already at ZIRP.
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