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/SWAPS/REPO: Deutsche Bank: Schatz ASWs Still Look Too Wide

BUNDS

Deutsche Bank note that the last month has seen “Schatz ASW spreads tighten by ~4bp, tracking the move in bills.”

  • “However, since then, GC repo has cheapened - back to the recent highs - while the repo funds rate is now at a spread over Estr which points to a continuing decline in specialness.”
  • “At the same time, credit spreads have also tightened.”
  • “As a result, despite the tightening already seen, Schatz-Estr spreads continue to look cheap on a range of metrics, having lagged behind dynamics in repo and credit (which we see as a risk proxy).”
  • “In aggregate, the metrics we use suggest spreads still appear 4.5 bps too wide.”
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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