Reduce Exposure to Money Market Longs: Euro Area Rates Strategy | Europe

研报英文原文证据摘录

Reduce Exposure to Money Market Longs: Euro Area Rates Strategy | Europe

IdeaM

Valuation Methodology and Risks

Below you will find a list of our current trade ideas, entry levels, entry dates, rationales,

and risks.

Exhibit 13: Valuation Methodology and Risks

Interest Rate Strategy

Trade Entry Level Entry Date Rationale Risks

Long 30y EU vs swaps 91bp 25/06/2026 We think EU the30y ongoingcheapnessWAMversusdecline,a GDP‑weightedshould supportEGBtheaverage,sector.together with Risks to the tradebondincludesor a resumptionan earlierofsyndicationrisk-off. of the 30y

We think the big picture story remains one of mid-cycle economies, a good

Long BTP G 10/31 vs OBL 4/31 47bp 12/06/2026 supply/demandenvironmentdynamics,for carry withstrategies.a decentIn thechunknearoftermeuro weareasee11supportsupply behindfrom us Risks to the tradeMiddleincludeEastanyescalation.renewed risk-off driven by

and expected light issuance until the summer .

ERZ6Z7 flattener -4bp 15/05/2026 We think the ECB will have to bring rates back to current levels after hiking. Risk to unchangedthe trade includefor a prolongedthe ECB hikingperiodandof leavingtime. rates

Short RAGB 2/36 vs NETHER 7/36 14bp 24/4/2026 We think the sovereign is tradingfundamentals.rich to other countries with similar macro Risks to the tradeeasingincludefiscalEUconcerns.flexibility under the EDP

Long IRISH 10/32 vs short BGB 6/32 -19 10/04/2026 We think Ireland fundamentalsdraglookforattractiveBelgium.while downgrade risks remain a Risks to the trade include the Irish DMO tapping the sector.

Short FRTR 2/31 vs 2/29 and 5/33 -2bp 27/03/2026 The bond is currently tradingcurrentclose tospikeits richestin volatility.level and it has not reflected the Risks to the trade include lack of mean reversion.