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Commerzbank Remain Cautious On Schatz Spreads

BUNDS

Commerzbank note that “In repo scarcity concerns are back but broad collateral richening rather than aggressive specialness sums up the state of play given the tight specialness distribution and good transmission of the May hike. The outperformance of Schatz-spreads against the ASW-structure and our fair value model underscore that investors prefer to play it safe. ECB per-country data adds to speculation on Bundesbank remuneration adjustments and knock-on effects into DFA collateral provision. Combined with shaky risk sentiment we stay cautious on Schatz-spreads.”

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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