The document provides an overview of the current market dynamics affecting the USD interest rate curve, decomposing it into three phases: Fed tapering repricing, China's intervention on USDCNY, and increased deflation and QE expectations in Europe. It includes a hypothetical PnL table for CMS 5s10s at expiry and discusses the positioning of steepeners and flatteners among real money investors.
documents/vol00010-efta01462280-pdf.pdf
{"title":"Market Dynamics and Hypothetical PnL Analysis","document_date":"2014-10-07","document_type":"tabular","key_locations":["Europe","China"],"document_subtype":"financial analysis","key_organizations":["DB GM Research"],"reference_numbers":["DB-SDNY-0124758","SDNY_GM_00270942","EFTA01462280"]}