Box 10Y-30Y Bund vs. OAT

T he recent de-pricing of rate cuts expectations and the risk-on environment triggered a flattening move on the long end of EGB curves . Since early -February, the 10Y-30Y slope of the OAT curve ha s been flattening more than the Bund ’s due to higher supply of 30Y Bund. T he c urrent positioning of the 10Y-30Y OAT at the lower end of its historical range compared to the Bund curve highlights the flatness of the French curve and the relative richness of 30Y OATs . As we estimate the tightening potential is now limited , we recommend entering in a 10Y-30Y Box Bund vs. OAT (entry: 23 bp; target: 30bp; stop-loss: 20 bp) .