Commerzbank Eye Pull Lower In Month-End €STR Fix

Commerzbank write “the €STR fixing for today (to be published tomorrow) could see a larger than usual month-end dip. Recall that the impact of the 0% MRR is felt at certain month-ends, and we have shown that so far the distortions are visible but not very large.”

• “Today will be particularly interesting as the last day of February will determine the reserve base for the reserve maintenance period starting in April, which is unusually long at eight weeks.”
• “This means that banks will have to hold reserves at 0% for 56 days based on today's balance sheet, implying a cost of 224bp for overnight deposits.”
• “Yesterday, when GC was traded over month-end, the average rate for German GC fell by 11bp, much more than the 2bp average over the last year when excluding quarter-end.”