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/SWAPS: Danske Believe Bund ASWs Are Close to BAsing

BUNDS

Danske Bank believe that “we are getting close to the bottom in Bund ASWs.”

  • They flag that technical as a consideration.
  • They also note that “looking at the correlation to volatility (using normalised volatility on a 1y10y EUR swaption), it seems that the move in Bund ASWs is overdone.”
  • “Finally, there is now positive carry being long Bunds vs. €STR for the funded investors, and we have seen an increase in demand at the regular tap auctions for German government bonds, especially at the long end of the curve.”
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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