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Commerzbank Maintain Short Schatz ASW Call Into Futures Roll

BUNDS

Commerzbank write “the collateral term premium embedded in Schatz spreads is still too high, we hold on to our tactical shorts and suggest using setbacks around the roll to add to the position.”

  • They note that “Bund specialness premiums continue to cheapen, with CTDs trading at the depo rate… Given the high volatility across asset classes this underscores that 'collateral abundance' continues to bite, fuelled by prospects of close to record high ECB- and DFA-adjusted net supply in 2025.”
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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