EUR Swaps: More issuance; 3s6s highs; AFT rankings

Computer lines code 30 Jan 2023
More issuance arrives and 3s6s tests recent highs. France's AFT publishes its rankings for 2022.

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  • More issuance; 3s6s highs
  • BNPP holds AFT top ranking
  • Repo/ASW decoupling - Commerzbank
  • New issues

    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

  • Slovenia is tapping EUR 0.4875% 2050 around swaps +115bps through Barclays (B&D), BNPP, DB and Erste.

  • Spain is pricing EUR long 15y around SPGBs +12bps through DB (B&D), JPM, MS, Nomura, Santander and SocGen.

  • NatWest is pricing EUR 11y NC6 Tier 2 around swaps +280bps through DB, NatWest (B&D), RBC and Santander.

  • State of Brandenburg is pricing EUR 9y at swaps -4bps through Barclays, Deka, Erste (B&D), HSBC and UniCredit.

  • CADES is pricing EUR 7y Social at OATs +31bps through CA, JPM (B&D), MS and Natixis. Latest order book size reported to be above €21bn.

  • BPCE is pricing EUR 7y NC6 SNP around swaps +175bps through Natixis.

  • ORIX Corp, a Japanese financial services company, is pricing EUR 5.25y around swaps +150bps through GS (B&D), JPM, BNPP, CA and BofA.

  • VF Corp, a US clothing company, plans EUR 3y and 6y Green bonds through JPM and MS.

  • NN Bank is pricing EUR 4.25y Green Covered at swaps +14bps through ABN Amro, DB, HSBC, LBBW, Rabobank and SocGen.

  • Sabadell is pricing EUR 3.5y Covered around swaps +32bps through Sabadell, Barclays, Commerzbank, JPM, Natixis and UniCredit.