Report
Long Schatz Dec-26 vs. Short Bund Aug-34 in ASW
The recent tightening of German ASW spreads has been strong with DU ESTR invoice spread reaching its lowest since 2018 to -5bp. It may be too late to enter a new swap spread tightening in DU Invoice spread as fast as it has been over the past two months . In absence of another major collateral cheapening, we see the long end more exposed to tighter swap spreads vs. the front-end. Risk/reward still looks attractive in the long end where fiscal concerns continue to dominate . We therefore enter a Long Schatz Dec-26 vs. Short Bund Aug-34 in ASW (entry: 6 bp; target: 0 bp; stop-loss: 10 bp).
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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.
Eya CHAMMAKHI
Théophile LEGRAND
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