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Derivatives

Pensions load up on Eurostoxx TRS for carry

Pension funds are entering into total return swaps on the Eurostoxx 50 to collect carry, driven by low volatility in other classes and the knock-on effect of the European Central Bank’s recent announcement regarding its liquidity programme. The funds are buying short term and selling long term TRS on the underlying in an effort to collect positive carry and roll-down.

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