Report
10Y-30Y BTP steepener
The BTP long end curve has flattened in Q4, particularly the 10-30Y segment, which decreased by 10 bp. This trend aligns with the EUR swap curve and is influenced by negative net supply in Italy and receiver flows from Dutch pension funds. We expect a potential steepening of the 10-30Y curve by mid-January 2025 due to dynamic January issuance focused on longer maturities, historical seasonality showing an average steepening of 8 b p , and a favorable 3M z-score analysis indicating attractiveness compared to other EGBs. We recommend going long on BTP 07/34 vs. short BTP 10/53 (entry: 67bp; target: 7 5bp; stop: 62bp ; horizon: 1M ) .
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Natixis
Based across the world’s leading financial centers, Natixis CIB Research offers an integrated view of the markets. The team provides support to inform Natixis clients’ investment and hedging decisions across all asset classes.
Théophile LEGRAND
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