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Commerzbank Flag Short-Term ECB-Related Risks To Swap Spread Tighteners

EGBS

Commerzbank note that “for swap spread shorts, today's ECB meeting holds tail risks. For one, another MRR surprise cannot be ruled out.”

  • “We think that a potential doubling of the MRR to 2% from 1% could lead to more strains over month-end, but they would probably not be significant enough to have a meaningful impact on swap spreads.”
  • “Similar arguments apply for a reduction in the €STR-20bp cap on government deposits or the remuneration of extra-€ deposits at the Eurosystem.”
  • “Hence, a knee-jerk widening would constitute a selling opportunity.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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