EGB Strategy: Back to the Drawing Board

The report analyzes intraday EUR swap and EGB curve dynamics, identifying that long-end moves tend to lead shorter-end segments. Tactically, it recommends OAT and BTP belly flies (7-10-15Y) over front-end flatteners.

Key Takeaways

• 1.Front-end slopes and butterflies move synchronously, meaning directional views on rates are required for trading this segment as there is no actionable lead/lag signal.
• 2.In the 10Y+ segments, curve slopes lead butterflies by approximately 30 minutes, suggesting directional duration hedging precedes relative value adjustments.
• 3.Curve reshaping propagates from the long-end toward the front, with longer-end butterflies leading shorter-end ones across all monitored curves.

Table of Contents

• EGB strategy: back to the drawing board
• Macro sensitivities
• Appendix 1: Further charts
• Interest Rates Research advanced tools
• Red Mount Analytics
• Global Markets Research contact details

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