German Swaps Spreads – Below is a chart of the DU/OE/RX/UB invoice spreads.
1) Schatz swap spread is back to its lowest levels since Feb-16 (ignore the drop lower in Dec, it’s not real). But Schatz spread has not been much lower since Jan 2015.
2) Eurobuxl spread is widening while Schatz swap spread is narrowing, although this looks like a reversal following the strong 30y receiving wave seen in August.
3) There is still a loose correlation between DU invoice spread and the GC-Eonia spread EUSWEC Curncy DMRGCGC Curncy HS <GO>. Bund-BTP spread also still has a decent influence.