Draghi's Master Plan Keeps Summer Rates Volatility Suppressed
- Positive carry trades in vogue, with peripherals favored
- Hedging via swap spreads may increase as consensus builds
This article is for subscribers only.
The European Central Bank has given the green light to summer carry trades as volatility remains contained and the policy meetings in September and October are likely reserved to outline further details on quantitative easing, buying more time for carry, Bloomberg strategist Tanvir Sandhu writes.
Italian bonds offer one of the most attractive carry and rolldown across European government bonds, with the five-year bucket three-month carry and roll at 16 basis points and one-year at 70 basis points. That compares with one-year of 30 basis points for 10-year bunds and 42 basis points for bonos.