Monday, 27 April, 2020
BANKS EU RATES
BANKS EU RATES
Citigroup (strategists including Jamie Searle)
Recommends buying 10-year gilts versus U.S. Treasuries to target a partial correction given BOE is likely to upsize bond buying by June, issuance is skewed toward the short-end and a rigid Brexit timetable make longer-dated U.K. bonds a good defensive option if there’s a Treasury-led sell-off
HSBC (strategists including Chris Attfield)
Recommends buying Spain 2s10s steepeners given short-end volatility is contained compared to BTPs, while Madrid is more likely to accept ESM help via the “Pandemic Crisis Support facility”, which could potentially trigger OMT activation for short-end Bonos purchases
Danske (strategists including Piet Christiansen)
Recommends buying December 2020 Euribor given the ECB’s collateral easing measures and lower haircuts have significantly expanded the collateral pool, which should increase the potential take up for LTROs and TLTROs
BNP (strategists including Marco Meijer)
Recommends buying June IMM 1-year 3s6s basis given it has not yet caught up with the move higher in OIS-Euribor, and it looks fairly correlated with ECB Short-Term European Paper 32-91 days rates, which suggests it should widen as STEP rates rise
JPMorgan (strategists including Fabio Bassi)
Recommends GBP June 2020/September 2020 FRA/OIS curve steepeners as a medium term normalization trade to capture a gradual improvement in funding conditions
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