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BUNDS: /SWAPS: Schatz/Buxl ASW Spread Pinned Near Cycle Highs

BUNDS
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{GE} BUNDS/SWAPS: Continued outperformance in the front end of ASW spreads has taken the Schatz/Buxl ASW curve to fresh cycle highs near 50bp (based on 3-month Euribor ASWs).

  • Increasing free float and fiscal/issuance risks have driven much of the move in the spread.
  • The same drivers should continue to limit any widening episodes in long end spreads, although positioning presents some upside risk to long end spreads (in the case that an upside catalyst becomes apparent).

Fig. 1: Schatz/Buxl ASW Spread (Vs. 3-Month Euribor)

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{GE} BUNDS/SWAPS: Continued outperformance in the front end of ASW spreads has taken the Schatz/Buxl ASW curve to fresh cycle highs near 50bp (based on 3-month Euribor ASWs).

  • Increasing free float and fiscal/issuance risks have driven much of the move in the spread.
  • The same drivers should continue to limit any widening episodes in long end spreads, although positioning presents some upside risk to long end spreads (in the case that an upside catalyst becomes apparent).

Fig. 1: Schatz/Buxl ASW Spread (Vs. 3-Month Euribor)

Keep reading...Show less