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1、PleaserefertoimportantinformationandMARdisclosuresattheendofthisreportDEEPDIVEEUROZONEG10INTERESTRATESItaly’ssovereigncurveunderstressKEYMESSAGESAsubstantialcreditriskpremiumiscurrentlypricedintotheshortandintermediatepartsoftheBTPcurve,aswasthecaseinlate2011.Asfearsofimminentdefaultorre
2、denominationriskrecede,weexpectthispremiumtomovefurtheralongtheBTPcurve,duetothepersistenceofconcernsaboutdebtsustainability.Highcouponbondshavecheapenedmorethanlowcouponbondsastheyhavemoredownside,butsomestillappeartoorichonthecurve.Weexaminedhowembeddedcreditpremiummovedduringthesover
3、eigncrisisof2011and2012,andnoteparallelswithvolatilityinItalysincetheelectionofapopulistgovernmentinSpring2018(Figure1).Ouranalysisshowsthathighcouponbondshavepreviouslyunderperformedrelativetolowcouponbondswhenspreadshavewidened(Figure2).Weproposeasimpleframeworktotakethesecouponeffects
4、intoaccount,andallowustospotpotentialrelativevalueopportunitiesontheBTPcurve.Basedonourcreditslopeandrich/cheapanalysis,wesuggestthebelowtradeidea,whichalsobenefitsfromhighpositivecarry.TRADEIDEAAcreditcurvesteepenertoexpressourview:§BuyBTPS3.75%8/21againstswapataspreadof175bp,versussell
5、BTPS1.25%12/26againstswapataspreadof213bp,DV01neutral.§Entry:40bp,target:80bp,stop:20bp§Carry:+3bp/month.Fig.1:Déjàvu-alotofcreditriskinthebellyoftheBTPcurveFig.2:Highcouponsunderperformwhencreditspreadswidenincrementaldefaultprobability25%20%15%10%5%0%<2y2yto5y5yto10y300250bp200150100
6、50040BTPS7.25%11/2026BTPS1.25%12/2026ISPRdifferential(right)353025bp2015105--5-10Sources:Bloomberg,BNPParibasSources:Bloomberg,BNPParibasMarcoMeijer,SeniorInterestRateStrategist,BNPParibasLondonBranch
7、DEEPDIVE06/11/20181SummaryandtradesuggestionERESTRATESPart1overleafanalysestheembedd
8、eddefaultpremiainvariouspartsoftheBTPcurveandsuggeststhatalotofdefaultriskispricedintotheshortertointermediatepartoftheBTPcurve.Puttingthisintohistoricalcontext,weobservethatafterreachingthepeakinspreadsduringthesovereigncrisisin2011/2012,thiscreditriskpremiummovedtopoint
