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SWAPS: Commerzbank: ASW Capitulation

BUNDS

Commerzbank write “swap spreads are capitulating, struggling to find a bottom even after spreads have now fully erased the great ASW-widening which started in October 2021. The Schatz-spread vs. €STR is even testing the €QE-lows.”

  • “Moreover, weak performance of 30y Bunds as well as the high feed-through into SSAs (the new 10y KFW for example is trading on new highs at +15bp) once more suggest that it’s not just about cheapening collateral.”
  • “So it looks like our theories on changing free float preventing a return to €STR+ ASW-levels will soon be put to the test.”
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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