Commerzbank Retain ASW Tightener, Flag Low Vol In Repo

Commerzbank write “in repo, prospects of a very smooth futures delivery and year-end accompany miniscule volatility in spot repos as collateral remains plentiful.”

• “Swap spreads continue to trade much more dynamically courtesy of the German budget crisis and profit taking. With no quick fix in sight and the DFA to clarify its 2024 issuance plans only by mid-December, the recovery will probably have legs."
• "However, we doubt that this represents a new widening trend as collateral demand remains insufficient to trigger a spiral. As collateral/safety premiums embedded in ASW-spreads are thus unlikely to materialise, we maintain our tightener.”