EUR Swaps: More issuance; 3s6s highs; AFT rankings
More issuance; 3s6s highs
The Bund future is weaker by 40-odd ticks while the gilt is down more than a point following UK data that included stronger-than-expected PMIs. In European data, German ZEW Survey Expectations increased from 16.9 to 28.1 and thus beating the Bloomberg survey consensus at 23.0.
In supply, new issuance continues to hit the screens with more corporates as well as a handful of banks among the names pricing euro deals (see new issue list below).
One trader suspected that issuance-related flow could be supporting bids in 3s6s basis, “The forwards around the 5y sector have been holding up quite well,” he said. On the screen, 5y 3s6s basis was last marked 0.4bp wider at 8.6bps and the highest since mid-2020.
In sovereign supply, Spain’s is today pricing a €5bn 15y syndication via DB (B&D), JPM, MS, Nomura, Santander and SocGen. “It seems ok,” said one trader, adding it was “likely” some was bought on asset swap spread.
Meanwhile, Bund asset swap spreads are a touch wider with last prices Schatz at 65.5bps (+0.6bp), Bobl at 63.8bps (unch), Bund at 59.6bps (+0.2bp) and Buxl at 27.0bps (+0.4bp).
The swap curve is slightly steeper and reversed some of yesterday’s flattening move, “Possibly the Spanish supply helped,” said one trader. Last prices were 2s/5s at -36.75bp (+1bp), 5s/10s at -11.75bp (+1bp) and 10s/30s at -52bps (+0.5bp).
BNPP holds AFT top ranking
The AFT today published its 2022 rankings for primary dealers in the French government bond market. The top spot was held by BNP Paribas while Citi was the biggest climber rising to third from sixth place. Further details including a more detailed breakdown can be found here.
1. BNP Paribas (1 in 2021)
2. Credit Agricole (2)
3. Citi (6)
4. J.P. Morgan (3)
5. Societe Generale (5)
6. HSBC (4)
7. Deutsche Bank (7)
8. Barclays (8)
9. Goldman Sachs (-)
10. BofA (9)
Repo/ASW decoupling - Commerzbank
In a strategy note published today Commerzbank discusses decoupling in the repo and ASW market. The bank holds its short ASW position. It writes:
- "The repo/ASW decoupling also remains in focus. In short dates, German specials are now trading at the cheapest level since October 2021 following the accelerating collateral cheapening. At the time, however, Bund ASW spreads were some 20bp tighter and Bund-swap spreads remain mostly immune to the repo cheapening. Such a repo/ASW decoupling is unusual and points towards concerns that the ECB might adjust the sovereign deposit remuneration or renewed IRS hedging activities in view of ECB rate concerns. We doubt that these will stick though and expect renewed ASW tightening.”
New issues