EUR Swaps: Short covering as summer ends; ASW talk

Chart line 30 Jan 2023
The Bund has moved higher despite latest CPI data. Strategists look at strategic tighteners in Bund asset swaps.

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  • Short-covering as summer ends
  • Strategic tighteners - Commerzbank
  • New issues

    Short-covering as summer ends
    The Bund initially dropped lower after French CPI printed higher than consensus, but the market was quick to rally back and the 10y future was last up 50 ticks while the 10y yield was marked down by 5.5bps at 2.49% as the curve bull-steepened.

    “I think what you are seeing is a seasonal end to summer shorts and some covering. Plus, it’s also month-end although I’m not sure how much of a factor that is going to be this time around,” said one trader.


    Flash euro HICP printed at 5.3%, unchanged from last month, and core HICP fell to 5.3%. Euro inflation swaps are 2-4bps lower led by the front end with 5y5y at 2.55% (-2bps). 

    Meanwhile the pace of new issuance in euros has slowed after a busy start to the week. Only a handful of issuers are expected to price today and includes LVMH with a 6y and 10y dual tranche.

    Bund asset swap spreads are a touch tighter across the 5y to 30y sector with last prices vs 6m Bobl at 67.8bps (-0.1bp), Bund at 63.2bps (-0.2bp) and Buxl at 28.4bps (-0.4bp).

    In basis, 3s6s has moved wider across the belly despite the slowdown in new issues pricing. For instance, 5y was last up 0.3bp at 7.5bps and was marked as high as 7.8bps earlier in the day on the screen.

    Strategic tighteners - Commerzbank
    In a report published today Commerzbank looks at the recent trends in repo and ASWs. It writes:

      “In repo, CTD richening has been modest so far with the boxing period slowly getting underway. While some richening looks set to be in store for settlement dates next week, the delivery period could be rather unspectacular this time. Nonetheless, modest CTD richening could go along with ASW spreads temporarily edging wider. We suggest using such widening phases to resume strategic tighteners.”


    New issues

  • LVMH is pricing €1bn 6y at swaps +25bps and €1.5bn 10y at swaps +45bps. Leads are BofA, CA (B&D), CIC, Citi, Commerzbank, HSBC, ING, MS, Natixis and UniCredit. Books above €2.2bn and €3.6bn, respectively.


  • The EU has sent an RfP to its banks.

  • Intesa Sanpaolo is pricing €1.25bn perp NC6.5 AT1 around 9.125% through BofA, Barclays, Citi, DB, GS, IMI (B&D) and MS.

  • Molnlycke Holding, a Swedish based company, is pricing €400m 5y around swaps +120bps through BNPP (B&D), Danske, HSBC and SEB.

  • Azerion Group NV plans EUR 3y bonds in the near future through Pareto Securities.

  • Sartorius Finance BV plans a EUR four-part deal after investor meetings from 4-6 September. Leads are BNPP, DB and JP Morgan.