巴黎银行-欧洲-投资策略-欧洲期货交易：当前的机会分析-2019081.pdf

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2、EUROZONE9August2019PleaserefertoimportantinformationattheendofthisreportG10INTERESTRATESEurexroll–analysisofcurrentopportunitiesFig.1:EurexIRR&forwardASWdifferentialBundroll:281cents,100:101ratioUnlikethepreviousroll,U9andZ9havethesameCTD(BundAugRollU9IRRZ9IRRU9vsZ9fwdASWKEYMESSAGES2

3、8).TherehasbeenreasonablebuyinginterestintherollfromtheBund281-0.55%-0.72%-0.8bpBundroll:sameCTD.Selltheroll274level.TheopeninterestonU9isatthelowersideoftherangeBobl-36-0.53%-0.66%-1bpnow.ofthepastfewyears.WewouldexpectCTArollingofU9positionsBuxl160-0.52%-0.70%-0.6bptobeaccompaniedbytight

4、eningpressureontheroll.OntherepoSchatz-7-0.26%-0.60%-1.5bpBoblroll:differentCTDs.Buytheside,Z9IRRistradingat-0.72%vsa0.65%termrepo.Wedonotrollnow.thinkthattheZ9IRRcanrichentomorethan-0.80%(asmarketOAT-169-0.40%-0.66%+0.9bpexpectationsofaECBdepositratecutarealreadyhighandBTP180-0.10%-0.59%+

5、7.6bpGermanGCremainsheavy).Asaresult,wewouldseeanyBuxlroll:sameCTD.BuytherollSource:BNPParibasovershootinglimitedtothe283-284cent.Startsellingtherollnow;ithasthepotentialtowidennow.to164cents,inourview.Fig.2:BundMay24/Aug24spotASWBoblroll:-36cents,100:94ratioSchatzroll:differentCTDs.WaitAs

6、wasthecaseinthepreviousroll,U9andZ9havedifferentfor-9/-8beforebuyingtheroll.CTDs(BundMay24andBundAug24,respectively)−ie,a3-centrolltighteningfora50-centsell-offintheBoblfuture.BundAug24OATroll:differentCTDs.WeseeASWhasstabilisedmarginallyricherthanMay24(Fig2,1bprichertheZ9CTDasexpensive.Bu

7、ytheinforwardASW)andthecurveisnowveryflat.Onthereposide,rollnow;itcouldreturnto-165.theZ9termrepoisat0.62%vsanIRRof-0.66%.ThetermreponowseemscheapcomparedwithmarketexpectationsontheBTProll:sameCTD.Selltherolldepositrate(thetermrepoandIRRU9wereat-0.58%inlateAprilinthe183-185area.withnoECBra

8、te-cutexpectations).WeseeroomfortheZ9IRRtorichen,implyingsomeroll-tighteningpressures.Hence,webelievethatthedirectionalityandrepocomponentsimplyatighteningoftheroll.InvestorswithshortU9positionsshouldthereforerollSource:BNPParibasnow,inourview.EricOynoyan,Seni