1y10y vs 1y5y vol spread
VolatilityNeutral
Trade vol along expiry-maturity grid; some grid points cheap/rich relative
Source: Bond Vol
2-5-10 butterfly DV01-neutral
Yield CurveNeutral
Long 2y short 5y long 10y weighted DV01-neutral; profits if 5y richens or cheapens vs wings
Source: BSIC
2-5-30 butterfly cash neutral
Yield CurveNeutral
Long wings short belly cash-and-DV01-neutral with weights chosen to balance both
Source: Henderson Practitioner
3M T-bill OIS spread (TED proxy)
Funding/LiquidityLong Spread
Modern TED-equivalent; spread widens during banking stress (2008 SVB-2023)
Source: Stress
5-10-30 butterfly
Yield CurveNeutral
Trade long-end curvature; less common than 2-5-10 but high duration
Source: CFA
5y5y forward inflation
Inflation/Real RatesLong/Short
Trade 5y5y forward inflation rate vs central bank target; macro inflation expectations gauge
Source: Macro
Agency CMO tranche trade
Mortgage RVNeutral
Trade specific tranches PAC support sequential; cash flow profile mismatches
Source: CMO
Argentina restructuring trade
EM SovereignLong Restructured
Argentina sovereign defaults restructurings; trade post-restructuring claims
Source: Distressed
Asset swap spread (ASW) trade
Swap SpreadsNeutral
Trade corporate or sovereign ASW spread vs benchmark; capture credit-curve dislocations
Source: Bond RV
Bear steepener forecast
Yield CurveLong Steepener
Short 30y less than short 2y; bet on long end rates rising more than short
Source: Macro
Bobl-Bund-Schatz curve
Cash-Futures BasisNeutral
German curve trades 2/5/10 in Eurex futures
Source: Eurex
Build America Bonds (BABs) trade
MunisLong
BAB taxable munis with federal subsidy; one-time arb (mostly 2009-10 issuance)
Source: Special
Bull flattener forecast
Yield CurveLong Flattener
Bet on short rates rising while long stay flat; common in tightening cycles
Source: Macro
Bund-BTP basis (Italy-Germany)
Cash-Futures BasisNeutral
Trade German bund vs Italian BTP basis; Eurozone sovereign spread proxy
Source: EUR Bond
CDS curve trade (5s10s)
Credit RVNeutral
Trade 5y vs 10y CDS curve flatten/steepen; sovereign or corporate
Source: Credit
CDS index basis (CDX/iTraxx vs constituents)
Credit RVNeutral
CDX index spread vs sum of constituent CDS; arb basis
Source: Credit Arb
CDX tranche correlation trade
Credit RVNeutral
Long equity tranche short mezz/senior or vice versa; correlation skew trade
Source: Credit Tranches
CRT (Credit Risk Transfer) trade
Mortgage RVLong/Short
FNMA/FHLMC CRT bonds; takes credit risk on book of mortgages
Source: CRT
Cap-floor parity arb
VolatilityNeutral
Cap - Floor = Swap; arb when relationship breaks
Source: Standard
Cash-CDS basis trade
Credit RVNeutral
Long bond short CDS = positive basis; usually small but widens crisis
Source: Credit Arb
Conditional bull steepener via options
Yield CurveLong
Use payer-payer spread on swaptions for asymmetric flatten/steepen exposure
Source: Swaption
Conventional vs Ginnie spread
Mortgage RVNeutral
FNMA/FHLMC (conventional) vs GNMA (govt) spread; political/credit driven
Source: MBS
Convertible-stock-bond capital stack
Credit RVNeutral
Trade convertible vs stock vs straight bond same issuer; capture stack dislocations
Source: Cap Stru
Convexity trade with mortgages
VolatilityLong/Short
MBS negative convexity at high rates; trade convex profile in TY vs MBS basket
Source: MBS
Coupon-stack trade
Mortgage RVNeutral
Trade between adjacent MBS coupons (e.g. 2.5% vs 3% pools); prepay differential
Source: MBS
Cross-currency basis swap trade
Forward RatesNeutral
EURUSD basis swap negative = EUR funding scarce; trade basis vs forecast
Source: FX-Bond
EM CDS basis (cash vs CDS)
EM SovereignNeutral
EM sovereign cash bond vs CDS basis; widens during stress
Source: EM
EM curve trade (slope)
EM SovereignLong/Short
Brazil 2y vs 10y curve trade; carry rich short-end vs long
Source: EM
Equally weighted butterfly (50:50)
Yield CurveNeutral
Simple 50/50 wings vs 100 belly; not DV01 neutral but easier execution
Source: Standard
Eurodollar futures pack/bundle (DEBUNKED post-LIBOR)
Forward RatesNeutral
Was used pre-2023 LIBOR transition; now SOFR equivalent; trade 4-quarter pack curve
Source: DEBUNKED→SOFR
Eurozone HICP swap vs OAT-i
Inflation/Real RatesNeutral
Eurozone inflation swap vs French OAT-i breakeven
Source: EU Inflation
FRA-OIS basis (post-LIBOR)
Forward RatesNeutral
Term SOFR-OIS basis indicates dealer funding stress
Source: Repo
FRA-OIS spread
Funding/LiquidityLong Spread
Forward rate agreement vs OIS measures unsecured bank funding stress
Source: Stress
FX swap implied USD funding cost
Funding/LiquidityLong Funding
Implied USD rate from FX swap > SOFR signals offshore USD scarcity
Source: Quant
Fed funds futures vs SEP path
Macro TradesLong/Short
Trade FF futures-implied path vs Fed dot plot Summary of Economic Projections
Source: Fed Watch
Flattener trade
Yield CurveLong Flattening
Short short-end long long-end DV01-neutral; profits if curve flattens
Source: Standard
Forward rate agreement (FRA) calendar
Forward RatesNeutral
Trade 1x4 vs 4x7 FRAs to capture curve curvature in short end
Source: Money Mkt
Frontier sovereign yield-grab
EM SovereignLong
Egypt Pakistan Sri Lanka Nigeria yields 12-25%; high-carry but default risk
Source: Frontier
GBI-EM duration positioning
EM SovereignLong/Short
Position EM local rates basket vs benchmark; tactical duration tilt
Source: JPM Index
General collateral (GC) vs special spread
RepoNeutral
GC-special spread widens for in-demand bonds; trade ahead of auctions
Source: Repo
IDFC INR sovereign bond trade
EM SovereignLong/Short
India 10y G-sec carry positioning; foreign portfolio investor flows critical
Source: India
IG-HY credit spread trade
Credit RVLong/Short
Long IG short HY or vice versa based on credit cycle position
Source: Credit RV
IO-PO trade (interest-only vs principal-only)
Mortgage RVLong/Short
IO benefits from slow prepay PO from fast; trade prepay forecast
Source: MBS
Implied repo trade
Cash-Futures BasisNeutral
Capture difference between actual repo and implied repo from basis
Source: Repo
Inflation breakeven steepener
Macro TradesLong Steepening
Long-end breakevens rise faster than short; long 30y BE short 5y BE
Source: Macro
Inflation swap vs TIPS basis
Inflation/Real RatesNeutral
Inflation zero-coupon swap rate vs TIPS-implied breakeven; arb 5-15bp basis
Source: Inflation
Inverted swap spread negative basis
Swap SpreadsNeutral
Negative swap spreads (UST > swap) signal balance sheet stress; trade reversion
Source: Post-2008
JGB futures basis
Cash-Futures BasisNeutral
Japan gov bond futures basis; tight market BoJ involvement
Source: JGB
JPY cross-currency basis
Forward RatesNeutral
Persistent negative JPY basis (yen scarce in offshore); structural trade
Source: JPY
LDI gilt basis (UK)
Cash-Futures BasisNeutral
UK liability-driven investing fund basis exposure; was core of 2022 crisis
Source: LDI
Lebanon Eurobonds (DEFAULTED)
EM SovereignLong Recovery
Defaulted in 2020; trade recovery value bets on potential restructuring
Source: Distressed
Loan-bond basis
Credit RVNeutral
Bank loan trades cheaper than bond same issuer; senior-secured advantage trade
Source: Credit
Local-vs-USD bond same issuer
EM SovereignNeutral
Long local-currency bond short USD-denominated bond same sovereign; FX-hedge
Source: EM
Long swap spread (sw rate > UST)
Swap SpreadsLong Spread
Long swap spread = receive Treasury pay swap; profits when swap rate rises vs UST
Source: Bond RV
MBS-Treasury OAS trade
Mortgage RVLong/Short
Trade option-adjusted spread of MBS vs Treasuries; mean revert when extreme
Source: MBS
MOVE index gamma trade
VolatilityLong Gamma
Use TY/ZN options to be long gamma when MOVE low; hedge dynamically
Source: Move
Mexico-vs-Peru bond cross-trade
EM SovereignNeutral
Cross-country LatAm sovereign RV; macro and credit drivers
Source: LatAm
Muni-CDS pricing trade
MunisNeutral
Some munis have CDS; trade cash bond vs CDS implied
Source: Muni
Muni-Treasury (M/T) ratio
MunisLong/Short
Muni 10y / Treasury 10y ratio mean reverts; trade ratio extremes
Source: Muni
Negative basis trade
Credit RVLong Basis
When CDS > bond spread (negative basis) buy bond buy CDS protection; positive carry
Source: Credit Arb
Net basis trade with options
Cash-Futures BasisNeutral
Short futures captures embedded optionality (delivery options switch quality wild card)
Source: Bond Lit
Non-agency RMBS trade
Mortgage RVLong/Short
Non-agency RMBS legacy paper post-GFC; deep credit/recovery analysis
Source: RMBS
OAT-Bund basis (France-Germany)
Cash-Futures BasisNeutral
French OAT vs Bund spread; political/election volatility
Source: EUR Bond
OTR vs OTR Treasury arb
On-the-Run/Off-the-RunNeutral
Long off-the-run short on-the-run; capture 1-3bp liquidity premium reversion at next auction
Source: Bond RV
Old bond vs current bond
On-the-Run/Off-the-RunNeutral
As bonds age out of OTR they trade cheaper; carry-positive trade with care for repo
Source: Bond RV
PCA butterfly trade
Yield CurveNeutral
Trade PC3 (curvature) hedged against PC1 (level) and PC2 (slope)
Source: Litterman Scheinkman
Pre-refunding (Pre-Re) trade
MunisLong Pre-Re
Pre-refunded munis backed by Treasuries; effectively gov bonds at muni yields
Source: Muni
Quanto CDS arb
Credit RVNeutral
Same issuer CDS in different currencies; quanto adjustment factor trades
Source: Quanto
Real yield curve trade
Inflation/Real RatesLong/Short
Trade TIPS curve shape (5y vs 30y real yields)
Source: TIPS
Real yield steepener
Macro TradesLong Steepening
Real curve steepens with QT; long short-real short long-real
Source: Macro
Regression butterfly hedge ratios
Yield CurveNeutral
Regression of belly yield on wing yields; weights from regression coefficients
Source: Henderson
Repo-IORB spread
Funding/LiquidityNeutral
Repo above IORB signals reserve scarcity; trade Sept 2019 spike type events
Source: Fed
Reverse repo facility (RRP) arb
RepoNeutral
Fed RRP rate sets floor; arb private repo vs RRP when rates diverge
Source: Fed
Roll trade (TBA dollar roll)
Mortgage RVNeutral
Sell current month TBA buy next month; capture implied funding/financing cost
Source: TBA
Russia OFZ trade (DEBUNKED post-2022 sanctions)
EM SovereignNeutral
Pre-2022 Russia ruble bonds tradeable; post-Ukraine war sanctions blocked (DEBUNKED for non-Russian)
Source: DEBUNKED
SOFR futures pack/bundle
Forward RatesNeutral
Trade SOFR futures packs (4 consecutive contracts); curve trade post-LIBOR
Source: SOFR
SOFR-IORB spread
Funding/LiquidityNeutral
Spread between SOFR and Interest on Reserve Balances; reserves scarcity gauge
Source: Fed
STIR vs OIS spread
Forward RatesNeutral
3M T-bill - OIS spread = TED-like; widens during stress
Source: Bond Lit
Short swap spread
Swap SpreadsShort Spread
Pay Treasury receive swap; profits when swap rate falls vs UST
Source: Bond RV
Skew trade swaption (payer vs receiver)
VolatilityNeutral
Buy receiver short payer skew widens or vice versa; trade vol asymmetry
Source: Bond Vol
Sovereign CDS basis (cash bond vs CDS)
Credit RVNeutral
Italy France Brazil sovereign cash-CDS spreads; stress-driven basis
Source: Sov
Special collateral repo trade
RepoLong Special
Specific Treasury bond on special (low repo rate); finance bond cheap
Source: Repo
Specified pool premium trade
Mortgage RVLong Specified
Specified pools (low loan size geographic etc) trade at premium to TBA; capture premium
Source: MBS
Sponsored repo (FICC) arb
RepoNeutral
FICC sponsored repo lower rates than bilateral; arb client-vs-bank rates
Source: Repo
Steepener trade
Yield CurveLong Steepening
Long short-end short long-end DV01-neutral; profits if curve steepens
Source: Standard
Swaption straddle long vol
VolatilityLong Vol
Buy ATM swaption straddle; delta-hedge in cash to profit if realized > implied
Source: Bond Vol
Swaption strangle short vol
VolatilityShort Vol
Sell OTM payer + receiver; profit if rate stays in range
Source: Bond Vol
TIPS-Treasury breakeven trade
Inflation/Real RatesLong/Short
Long TIPS short nominal Treasury = long breakeven inflation; trade vs forecast CPI
Source: TIPS
Term premium model trade
Macro TradesLong/Short
Trade vs ACM/Kim-Wright term premium estimates; revert when extreme
Source: NY Fed Model
Term repo trade
RepoNeutral
Term repo (1mo+) vs daily GC; capture term premium in funding
Source: Repo
Tobacco settlement bond trade
MunisLong/Short
Tobacco MSA bonds; cash flow tied to cigarette consumption decline
Source: Special
Treasury auction tail capture
On-the-Run/Off-the-RunLong Auction
Buy at auction tail (cheaper than WI level); flip in secondary
Source: Auction
Treasury basis trade (long bond short fut)
Cash-Futures BasisNeutral
Long cash bond short Treasury futures; capture cheapest-to-deliver convergence at expiry
Source: Bond Basis
Treasury-swap spread trade
Swap SpreadsNeutral
Trade Treasury yield vs same-tenor swap rate; bank balance sheet drives spread
Source: Swap
Triparty repo arb
RepoNeutral
Different rates across BNY tri-party vs bilateral; arb when rates diverge
Source: Repo
Twist trade (kink in middle)
Yield CurveNeutral
Long mid-belly short both ends; profits if 5y outperforms both 2y and 10y
Source: Variant
UK RPI swap vs gilt linker
Inflation/Real RatesNeutral
RPI swap rate vs gilt-implied breakeven; LDI heavy users
Source: UK
WI (when-issued) vs auction
On-the-Run/Off-the-RunNeutral
Trade when-issued vs auction stop-out; statistical regularities pre/post
Source: Auction
XCcy basis trade vs covered interest parity
Funding/LiquidityLong/Short
Persistent CIP deviation since 2008; trade XCcy basis vs forecast
Source: Post-2008
Z-spread vs OAS divergence
Swap SpreadsNeutral
For callable bonds spread between Z-spread and option-adjusted spread reveals call risk
Source: Bond Math
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.