EUR Swaps: Curve and spreads rebound

Up candle chart 25 Mar 2021
The swap curve re-steepened and euro spreads rebounded today as accounts re-positioned.

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  • Curve and spreads rebound
  • Industry groups warn on EUREX/LCH basis volatility
  • New issues

    Curve and spreads rebound
    The Bund has followed USTs higher during the afternoon session after US data printed, leaving the 10y Bund yield last marked around 2.61% (-3.75bps).

    “The heavy supply seems to have been digested OK,” said one trader following today’s OAT and SPGB auctions. “There’s been quite a lot to get through and the market had started to feel a bit heavy again,” he added.

    Elsewhere, the swap curve has steepened back up after yesterday’s US-led flattening with 2s/10s at -34bps (+1bp) and 10s/30s at -34bps (+1.25bp).


    In terms of flows, one trader said, “There’s been good two-way action recently, as you would expect when we get new issuance. Since the US Labor holiday we’ve seen a notable pick-up in both markets.

    Finally, Bund spreads have also rebounded after recent tightening with last prices vs 6mE Bobl at 64.8bs (+1.4bp), Bund at 60.8bps (+1.1bp) and Buxl at 24.5bps (+0.9bp)

    Ahead, one trader said the rebound in spreads was unsurprising, “We’ve moved down quite a bit so you’d expect accounts that have positioned for this move to take some profit,” he said.


    Industry groups warn on EUREX/LCH CCP basis volatility

A joint statement issued today by European industry groups has warned that “large, volatile, and unpredictable price differences between CCPs (called a basis)” will arise if the European Commission forces EU firms to clear at a EU-based CCP. Further details can be found here


    New issues

  • Sartorius Finance, a German life sciences company, is pricing EUR 3y around swaps +120bps, EUR 6y around +155bps, EUR 9y around +180bps and EUR 12y around +215bps. Leads are BNPP, DB (B&D) and JPM.

  • KfW is tapping €1bn 2.875% 2033 at swaps flat through BofA, HSBC and JPM.

  • BFCM is pricing EUR 7y Social Senior Preferred around swaps +130bps through CIC (B&D), HSBC, NatWest and SocGen.

  • Tikehau Capital, a French asset manager, is pricing €300-500m 6.5y Sustainable bonds around swaps +350bps through CA, GS, SocGen (B&D), BofA, Natixis, RBC and SMBC.

  • International Distribution Services (IDS), a UK company, is pricing €500m 5y around swaps +200bps and £250m 7y around gilts +290bps. Leads are BNPP, NatWest, Commerzbank, SEB and UniCredit.

  • Korea Housing Finance Corp (KHFC) plans EUR 4-5y Social Covered bonds through BNPP, ING, Natixis, Standard Chartered and UBS.

  • Raiffeisen is pricing EUR 5y NC4 SNP around swaps +300bps through BNPP, BofA, DB, RBI, SocGen and UBS.

  • Boels Topholding NV is pricing €400m long 5y NC2 Senior Secured around 6.375% through BNPP, ING and JPM.

  • Bank Millennium SA plans to sell EUR 4y NC3 SNP through BNPP, Erste, Millennium, MS and UniCredit.