Report
Buy CCBGBB 3 ⅜ 05/28/30 (NPS) vs ABNANV 0 ½ 09/23/29 (NPS)
We are positive on the CCBGBB NPS curve especially in the 3-5y space and vs largest regional peers which are the tightest of the EUR NPS universe. We like CCBGBB 3 ⅜ 05/28/30 (NPS Bullet) vs the ABNANV 0 ½ 09/23/29 (NPS Bullet) which still appears particularly tight. We believe there is still tightening potential in CCBGBB whereas ABNANV should at best marketperform going forward. In terms of fundamentals, we do not see any rationale that would justify the existing spread (~25 /30 bps) between CCBGBB and ABNANV especially in the long end . The two banks are among the top 3 players on their domestic markets, display strong credit fundamentals and operate simple and low risk businesses. CCBGBB is also better rated than ABNANV in the NPS space in particular. We target a 20 bp s -performance (entry b/o included) for this trade given the current pick-up between the curves as well as the compression between ABNANV 29 and its own curve.
Provider
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.
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