Long BTP 30Y vs. BTP 10Y in ASW

With new fears about the US banking system and some risk s of market s disappointment s over the rate cut scenario, we think it makes sense to position for a tactical repricing of the credit risk ( weak economic outlook, depricing of rate cut expectations + risk-off configuration ). The 10-30 Y BTP ASW is historically correlated with the 10Y BTP-Bund and has lagged in recent months . Any widening of the BTP-Bund would translate into an underperformance of the 10Y tenor on the ASW curve , hence our recommendation to go long 30Y vs. 10Y in ASW (entry: - 8 6 bp; target: -65bps; stop-loss: - 93bp; horizon: 3m).