固定收益博客EGBs相对价值角-118878040

Ahead of today's broader risk-off move in markets, EGB spreads were enjoyinganother solid performance with both GDP-weighted and average EGB spreads vsBund at record low levels for 2025. Our cross asset PCA shows that EGB spreadsoutperformed vs other risky assets during this risk-on move. In contrast to recentweeks, this outperformance was led by OATs. In fact, 10yr OAT/Bund is now backto levels last seen before PM Bayrou announced a confidence vote in late August. Mingyue XinStrategist In terms of drivers for this strong performance by OATs, as our twin deficit modelshows, OAT/Bund is trading above the levels implied by fundamentals. Thischeapness can be explained by the political uncertainty and can be seen as a riskpremium. Therefore, although we have not reached the crucial phase of the budgetprocess yet (see the detailed report by our Econ team), the market is reading "nonews" as "good news", as is usually the case when the risk premium related to As far as today's re-widening move is concerned, this is in line with the broader risk-off move in markets. In Monday's FICOTD, we explained that a broader risk-offmove could become the most likely trigger for a re-widening in EGB spreads and weassessed how this sensitivity has evolved lately. Today's moves so far are close to Source : Deutsche Bank, Bloomberg Finance LP EGBs Recent Moves Source: Deutsche Bank, Bloomberg Finance LP Source: Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Note: We're using the ISINs of the on-the-run 10yr bonds at the 1stday of the year.This means that the roll-down on the curve is part of the YTD yield change. 10y EGB spreads vs Bund - Rich/Cheap country analysisrelative to the past 1y beta to all other EGB spreads Framework:We are using the past 1-year sample to estimate the beta of eachcountry's spread (to Bund) vs the average spread of all other countries (on levels).Hence, the cumulative residual of each country's spread is zero over that 1-yearsample. Intuitively, current residuals show whether a country spread is trading richor cheap today vs its past 1-year relationship to all other EGB spreads. We also show Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Comment:One can easily see the countries that have exhibited strong idiosyncraticmoves, ie. very low R-squared vs avg EGB spreads. Lately, these countries havebeen Ireland, France, Portugal and Belgium. Over the past two weeks, average EGBspreads have again tightened into uncharted territory, with GDPW EGB spreadsalso at a three-year low. Meanwhile, after five months of outperformance againstother EGB spreads, BTPs are now trading cheap relative to their 1-year beta. This isunsurprising, as the regression now captures more BTP outperformance episodes, Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source :Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP EGB spreads (GDPW/avg) vs Credit spreads (iTraxx Main) Framework: In this section, we are assessing EGB spreads (10yr GDP-weightedEGB yield vs Bund, as well as average EGB spreads vs Bund) versus iTraxx Main(using an interpolated constant maturity time series to solve for the rolls). We arebasing this on a rolling 6m window regression (hence, the cumulative residuals isnot zero). The rolling 6m window R-squared of these regressions is also shown in Comment:The global risk-off move in early October has ended the rising correlationbetween EGB spreads and iTraxx Main, though it remains well above the lows ofMarch/April 2025. Based on the past six months' correlation, all residuals show onlysmall deviations from zero, trading slightly rich versus iTraxx. Both periphery and 10y EGB country spreads vs Credit spreads (iTraxx Main) Framework: In the previous section, we focused on GDPW & Avg EGB spreads asone group and semi-core & peripheral sub-groups; we now isolate each country's10y EGB spread (to Bund). We perform rolling 6m regressions vs iTraxx Main andpresent the current residuals, i.e., identifying rich/cheap EGB country spreads vs acommon explanatory variable such as iTraxx Main. Keep in mind that due to the Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Comment:Consistent with the previous section, iTraxx's explanatory power forEGB spreads has decreased in recent weeks. France and Belgium have moved dueto idiosyncratic reasons linked to the ongoing uncertainty in France, consequentlyexhibiting a much lower correlation to iTraxx Main compared