Rolling down the OAT vs Bund curve

In a context in which OAT will be mor e resilient, we think roll-down and carry of spreads vs Bund will matter a lot more . In this regard, OAT offer good prospects vs Bund , with the OAT 2/2030 offering the best potential, with a 11bp total carry (roll-down + carry) for the trade over 3 months, a level which is on par with the “best” BTPs. Therefore, we recommend buying the OAT 2/2030 vs Bund 2/2030 at 57bp, setting our target at 45bp and our stop at 65bp. In order to fully capitalize on the roll-down potential of the trade, we will hold the position during 3 months.