The report discusses the recent trends in US fixed income markets, focusing on government bonds, swaps, and credit. It highlights the decline in volatility and its impact on yield picks for callables, particularly in 5-year maturities. The report also notes the increased yield for buying Berm vs. Euro calls, recommending the 3NC3M Berm structure. It provides a detailed analysis of relative value in callables and suggests extending to 5-year maturities for better yield picks. The document includes data tables and charts from Deutsche Bank.
doj/DataSet10/EFTA01385939.pdf
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