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Commerzbank On Repo Post-BuBa Tweak

BUNDS

Commerzbank note that “swap spreads mark another contrast to last week's risk-off sell-off, even closing modestly tighter despite the spike in implied vols and equity sell-off.”

  • “This fits the very tame dynamics of spot repos, as specials as well as GC have hardly moved since the Bundesbank announcement to reduce the remuneration of domestic public deposits to 0% after 1 October.”
  • “In sum, this is leaving forward specialness as the key legacy of the Bundesbank 0% surprise for now as markets are pricing in the risk of collateral richening into 1 October.”
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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