ITC – Global bonds – Bunds and OATs vs USTs

USTs have underperformed swaps in the past couple of weeks but Bunds have outperformed. The chart below shows the contrasting movements in the invoice spreads.

Bunds may well be benefiting from the start of the next phase of QE.

TY (white) and RX (orange) invoice spreads

The lines in the top section of the chart show that they usually track each other approximately, not least because it is possible to swap a Bund/OAT etc from Euros in USD and vice-versa.

The chart below shows a OAT 10y benchmark into USD. It can be seen that the 10y OAT has converged on the 10y UST current in terms of swap spread, helped by the recent movements.

France is rated Aa2/AA/AA. US is Aaa/AA+/AAA