MNI China Daily Summary: Friday, November 15

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BUNDS: /SWAPS: Commerzbank Extend Long End ASW Tighteners

BUNDS
BundesbankCentral Bank NewsCEEMEAEurozoneGermanyBulletGlobalFixed Income BulletsRegionMarkets

Commerzbank note that “overnight repos are a beacon of stability and term indications are also calming down - underscoring the fundamental re-pricing of collateral risk premiums as key for ASW-moves.”

  • They go on to write “although most swap spreads are trading at historic lows, as we had anticipated, we doubt that the search for the ‘fair’ clearing price of free-floating, unbounded public debt vs. ‘fiscal risk-free’ OIS curves is complete.”
  • As such, they “extend (long end) ASW shorts after the 0bp target of 10-Year Bunds vs. 6-month Euribor was hit.”
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Commerzbank note that “overnight repos are a beacon of stability and term indications are also calming down - underscoring the fundamental re-pricing of collateral risk premiums as key for ASW-moves.”

  • They go on to write “although most swap spreads are trading at historic lows, as we had anticipated, we doubt that the search for the ‘fair’ clearing price of free-floating, unbounded public debt vs. ‘fiscal risk-free’ OIS curves is complete.”
  • As such, they “extend (long end) ASW shorts after the 0bp target of 10-Year Bunds vs. 6-month Euribor was hit.”