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EGBS: Harvinder Sian, Aman Bansal and Andrea Appeddu at Citi address the
question of what priced for the ECB's PSPP.
- They find "Real rates have partially adjusted to the global balance sheet
outlook. Bund ASW tends to cheapen into the actual flow reduction and is yet to
cheapen. EUR curves are steep from 5y and this seems to be partially pricing
PSPP exit. Further steepening is expected and offers an opportunity against
forward flattening in trades such as 3y 5s30s".
- They caution against ignoring PSPP re-investments at your peril, because these
really are a big deal and average EUR 10.4bln in 2018, rising to E14.4bln in
2019, according to Citi calculations.