EUR Swaps: Mixed bag sees rate rebound

Line chart 25 Mar 2021
The euro rates market has seen a modest rebound today.

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  • Mixed bag sees rate rebound 
  • Euribor stabilises; Spreads extreme - Commerzbank
  • New issues

    Mixed bag sees rate rebound
    The euro rates market has seen a modest rebound today after global fixed income came under selling pressure yesterday. The 10y Bund yield was last 1.5bps lower at 2.515% while the future has rallied about 35 ticks.

    “It’s been a bit of a mixed bag,” felt one trader, “We’ve had Deutsche Bank raising their terminal rate forecast by 50bps to 3.75%, but then (ECB member) Villeroy came out sounding a bit more cautious today.”

    In latest ECB speak, Governing Council member and French central banker Villeroy appeared to give pushback to recent hawkish comment by Schnabel. In an interview published today, Villeroy said the ECB was “in no way” committed to raising rates at every meeting until September. In the market, Euribors have recovered earlier losses with Sep23 last up by 4bps.

    Elsewhere, new issuance activity has seen a sharp slowdown with only a handful of names expected to price deals today. Bund asset swap spreads are wider with last prices Schatz at 67.5bps (+1.7bp),  Bobl at 65.6bps (+1.4bp), Bund at 61.3bps (+1.4bp) and Buxl at 28.0bps (+1.0bp). 

    In basis, 3s6s has stabilised following recent gains with 5y today marked 0.05bp tighter at 8.45bps-mid. 


    Euribor stabilises; Spreads extreme - Commerzbank
    In a daily strategy note Commerzbank finds Euribor fixings have stabilised but finds spreads still volatile. It writes:

    • “In money markets, the Euribor fixings stabilised but spreads remain extreme. Following two unusual declines since Friday, the 3m fixing rose again yesterday, but the spread through €STR remains near historic lows. Higher fixings should be the norm when more days with a higher ECB depo rate are covered by the term Euribors, but the fixings have been lagging for some time in the move higher, in particular in 3M. In turn, the IRS/OIS also hit new longer-term lows and 3s/6s bases new highs.

    • “Besides temporary distortions over holidays and tax dates, a level effect is probably behind the spread trends with wholesale deposits also not immune against the lagged pass-through that is observable to a larger extent at the retail level when rates rise. Another factor could be the higher excess liquidity since the start of the year, but this won't last (excess liquidity should dip again with today's TLTRO repayment settlement).”



    New issues

  • Luxembourg is pricing EUR 10y around swaps +2bps and 20y around +41bps through BCEE, BNPP, BIL, DB (B&D) and SocGen.

  • Orsted, a Danish utility company, is pricing EUR 3y around swaps +60bps, 7y around +100bps and 12y around +135bps. Leads are Barclays, BofA, CA, NatWest (B&D), Rabobank and SEB.

  • Investitionsbank Berlin is pricing €500m 10y at swaps +2bps through Deka, HSBC (B&D), LBBW, NordLB and UniCredit.

  • VF Corp may sell EUR 3y and 6y Green tomorrow through Barclays and Goldman Sachs.


  • Arcadis may sell €500m (max) 5y bonds tomorrow through BNPP, BofA, HSBC, GS, ING and Rabobank.