EU 29s trade about flat to AFLBNK (French agency) 29s. AFLBNK is a 20% risk weight name. EU is 0%. AFLBNK is comparatively much more illiquid than EU, which is maybe the most liquid name in the government related sector. So is it about liquidity/regulations or about OAT ASW? Where does KFW trade today vs where it traded at the time of th…
EU 29s trade about flat to AFLBNK (French agency) 29s. AFLBNK is a 20% risk weight name. EU is 0%. AFLBNK is comparatively much more illiquid than EU, which is maybe the most liquid name in the government related sector. So is it about liquidity/regulations or about OAT ASW? Where does KFW trade today vs where it traded at the time of this post? Have any regulations changed and/or is it harder to buy KFW?
Hi! Those French agencies and similar government-related names are very often traded on OATs and not on swaps. That causes all sort of funny distortions :)
EU 29s trade about flat to AFLBNK (French agency) 29s. AFLBNK is a 20% risk weight name. EU is 0%. AFLBNK is comparatively much more illiquid than EU, which is maybe the most liquid name in the government related sector. So is it about liquidity/regulations or about OAT ASW? Where does KFW trade today vs where it traded at the time of this post? Have any regulations changed and/or is it harder to buy KFW?
Hi! Those French agencies and similar government-related names are very often traded on OATs and not on swaps. That causes all sort of funny distortions :)
Really enjoy this blog btw and has helped me a lot - just waiting for the piece on swap spreads :)
It's coming :)
Thanks looking forward to it.
On a kind of related note, and maybe it's a stupid question, but what am I missing here?
5y ITRAXX Main protection costs 101bp
5y German ASW = 84bp
Why is the spread between those two things so tight?
Thanks again