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Commerzbank Wary Of Widening Risk In Schatz ASW

BUNDS

Commerzbank note that “the remuneration of sovereign deposits in the Eurosystem will be reduced to a maximum of €STR-20bp as of today. The Bundesbank has decided to remunerate deposits at the ECB cap of €STR-20bp from 1 May, but had previously been paying 10bp less than the ECB ceiling and will "examine in due course whether a further reduction is appropriate".”

  • “This has triggered speculation about changes in the DFA repo behaviour and that specials would either have to richen again or could become scarce on lower DFA lending as a consequence.”
  • “The latest richening of our key specialness metric (spread of 10 richest ISINs vs GC and €STR) to €STR-30bp fits the picture. Combined with shaky risk sentiment we therefore reiterate widening risks for 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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