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SWAPS/REPO: Commerzbank Remain Short ASWs

EGBS

Commerzbank write “Bund repos are taking another leap lower, driven by a broad-based cheapening of specials to the very long-term lows.”

  • “ASW-spreads are also grinding to the lows again, and persistent forward specialness as well as our term structure analytics suggest that the collateral channel is key.”
  • “We stay short, particularly in ultra-long spreads where competition from the EU is now impacting both sides of the supply-demand equation.”
  • “Our EGB RV tools suggest Bobls are very rich vs. Schatz.”
  • “10y BTP-Bund and OAT-Bund spreads are trading well aligned with our fair value model, adding to the notion that the rally is mature.”
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Commerzbank write “Bund repos are taking another leap lower, driven by a broad-based cheapening of specials to the very long-term lows.”

  • “ASW-spreads are also grinding to the lows again, and persistent forward specialness as well as our term structure analytics suggest that the collateral channel is key.”
  • “We stay short, particularly in ultra-long spreads where competition from the EU is now impacting both sides of the supply-demand equation.”
  • “Our EGB RV tools suggest Bobls are very rich vs. Schatz.”
  • “10y BTP-Bund and OAT-Bund spreads are trading well aligned with our fair value model, adding to the notion that the rally is mature.”