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Looking forward to Thursday's ECB meeting......>

EGBS
EGBS: Looking forward to Thursday's ECB meeting Daniele Antonucci, Joao Almeida
and Elaine Lin at Morgan Stanley believe that the Council will decide to
scale-back to E30bln per month for nine months.
- They recommend playing the meeting with trades that produce carry in a low vol
environment and like 5Y on 2s5s10s German curve butterfly. This view comes from
the ECB "not yet delivering an eventual 'tapering to zero' announcement, the
belly of the curve can continue to outperform,as both term premium and rates
expectation should stay anchored".
- They also like long 5Y BTPei at -7bp given the 48bp carry and roll for the
next 12 months.
- Finally, they recommend long 10Y Bund asset swap spread because of the APP as
collateral in the Bund market continues to be absorbed. 

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