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/SWAPS/REPO: Commerzbank On The ASW Backdrop

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Commerzbank note that “in contrast to the February/March ASW tightening, front-end/collateral dynamics rather than (ultra-)longs seem key at present.”

  • “We still consider €STR/depo very strong resistances for specials/GC respectively, but Schatz-ASW dynamics will also depend on the ECB’s ability to deliver cuts and revive front-end demand this time.”
  • “We stay short and suggest using further Schatz cheapening vs. the ASW-structure to position for structural long-end underperformance (ie. long Schatz vs. Bund/Buxl).”
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Commerzbank note that “in contrast to the February/March ASW tightening, front-end/collateral dynamics rather than (ultra-)longs seem key at present.”

  • “We still consider €STR/depo very strong resistances for specials/GC respectively, but Schatz-ASW dynamics will also depend on the ECB’s ability to deliver cuts and revive front-end demand this time.”
  • “We stay short and suggest using further Schatz cheapening vs. the ASW-structure to position for structural long-end underperformance (ie. long Schatz vs. Bund/Buxl).”