The position was opened at 145bp on 3 December. Today it was closed at 100bp and we book a considerable 45bp profit including 5bp negative roll down.
The position has benefited from the rally in core fixed income markets, which has caused a bullish flattening of the US swap curve.
The combination of a strong performance and a significant negative roll-down of at least 10bp per three month implies a less attractive risk-reward in keeping this position at the current stage, so we have decided to book the profit and stay sidelined on US rates until the rally comes to an end.
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