The document discusses the term structure of forward swap rates in CAD and USD, and presents a limited downside play strategy for USDCAD. It includes a graph of swap rates and a strategy involving a 3-month expiry call spread on USDCAD. The document also highlights key macroeconomic factors affecting the USDCAD exchange rate.
doj/DataSet10/EFTA01452921.pdf
{"title":"Term Structure of Forward Swap Rates","document_type":"tabular","reference_numbers":["DB-SDNY-0110250","SDNY_GM_00256434","EFTA01452921"]}