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/SWAPS: Commerzbank Maintain ASW Tightening Bias

BUNDS

Commerzbank write “Bund collateral continues to trade heavy after year-end conditions turned out even cheaper than anticipated.”

  • “Swap spreads are also taking out major levels. Valuations against our models are hardly stretched though and the case for ongoing swap spread tightening remains compelling given still elevated forward specialness and net flow dynamics.”
  • “In sum, we stay short but also stand ready to take profit on our long held tightener, with 10bp for Schatz vs. €STR and 40bp for Bunds vs. Euribor the levels to watch.”
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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