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Swap spreads narrow following ECB announcement

SCHATZ
  • On the back of the ECB announcement Schatz swap spreads are now around 1.0bp tighter on the day at 77.5bp.
  • Earlier today a low of 75.4bp was achieve, and notably off the 115+bp spreads we had seen in mid-October.
  • The last time we were convincingly below the 75bp level was in early July - before the first ECB rate hike.

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