EUR Swaps: Curve and spreads rebound

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. 

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