Fixed Income Blog: EGBs Relative Value Corner

Research evidence excerpt

Fixed Income Blog: EGBs Relative Value Corner

Deutsche Bank

Research

Emerging Europe Rates Date

Europe 26 June 2026

Global Fixed Income Blog

EGBs Relative Value Corner

Ioannis Sokos

The US/Iran deal has so far not led to a sustained compression in EGB spreads.

Strategist

Rather, the average EGB spread is now wider than the level just before the deal was +44-20-754-75680

announced. We believe one of the reasons for this is the respective resilience of ECB

market pricing, i.e. not following the drop in oil prices. We mentioned that in a recent Mingyue Xin

FICOTD while we entered Dec ECB receivers this week. Further, we've seen some

+44-20-754-10002

weakness in equities over the past week which also impacted sentiment on EGB

spreads.

However, the disappointment is that EGB spreads have been lagging both equities

and credit spreads during the Iran conflict as we've flagged in our most recent

publications, hence we've been waiting for a catch-up move as long as the deal is

signed. This hasn't been the case over the last trading sessions though, and our

BTP/Bund tightener hasn't performed well so far. The relative underperformance of

EGB spreads is illustrated in the EGB spreads (GDPW/avg) vs Credit spreads (iTraxx

Main) and PCA risky assets: EGB spreads, DAX, SX5E, Main & Xover sections.

In terms of individual country performance, the higher-beta spreads such as BTP/

Bund, OAT/Bund & OLO/Bund are underperforming in relative terms but there's no

major outlier as all EGB spreads have been underperforming relative to other risky

assets lately as is shown in the chart below.

Figure 1: EGB spreads continue to lag other risky assets

Percentile vs the recent min/max range 100% = peak risk-off

0% = pre conflict level 100%

< 0% = new lows (highs for equities)

80%

60%

40%

20%

0%