EUR Swaps: Rangebound Bund; Spread and curve outlook

Bond chart 30 Jan 2023
The Bund has stabilised and so far traded a narrow range. Banks look at the outlook for the curve and spreads.

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  • Rangebound Bund; Curve flatter 

  • Curve and spread outlook - Commerzbank

  • New issues 


    Rangebound Bund; Curve flatter

    The Bund has stabilised and so far traded a narrow range following Friday’s sharp sell-off. The 10y future was last down 20 ticks having kept a 30 tick range while the 10y yield is marked around 2.70% (+2bps).

    The swap curve has edged slightly flatter with last prices 2s/10s at -58.25bps (-0.25bp) and 10s/30s at -32.25bps (-1bp).

    Elsewhere, Bund asset swap spreads are near unchanged across the 5y to 30y sector of the curve with last prices Bobl at 62.7bps (+0.3bp), Bund at 58.6bps (-0.3bp) and Buxl at 22.6bps (-0.2bp).


    In issuance, a few banks are looking to price euro deals including Lloyds 8y NC7 and Commerzbank 5.5y NC4.5 Green Senior Non-Preferred. In SSAs, Dutch borrower BNG Bank plans to sell 15y Social in the near future. 

    With last week’s ECB meeting out of the way, focus now turns to the FOMC and BOE meetings later this week.



    Curve and spread outlook - Commerzbank 

    In a strategy note published today, Commerzbank gives its outlook for the euro swap curve and spreads. It writes: 


    • "The short-end looks vulnerable amid early talk of an ECB hike in December and 2024 rate cut expectations being put to the test with the ECB poised to keep rates at the current level for some time.


    • "The long-end also came under pressure on Friday following the initial post-ECB relief and the coming days will show whether the bearish steepening has legs. The sell-off, with Bunds underperforming USTs, could have been a correction from lopsided outright and curve positioning following the mounting euro area recession talk and receding implied vols. Buoyant risk sentiment probably was another factor with tightening Bund ASW fitting the picture.


    • "Ultra-long steepening and ASW dynamics have chances to extend. 30y Bund yields eroded the key resistance at 2.8% and closed at the highest level since 2011, while the 10-30y €-IRS curve hit -31bp and hence the highest level in more than a year. Lower hedging demand and eroding convexity value should put ongoing pressure on 10-30s to dis-invert. Key ASW levels have also been taken out, particularly 40bp for Schatz vs. €STR and 60bp for Bund vs. 6mE."


    New issues

  • VW Leasing is pricing EUR 2.5y around swaps +120bps, EUR 5.5y around +170bps and EUR 8y around +195bps. Leads are DB, ING (B&D), IMI, SEB and SocGen.

  • Lloyds is pricing EUR 8y NC7 around swaps +190bps through Lloyds (B&D), ABN Amro, GS, ING and UBS.

  • Credito Emiliano is pricing €500m (max) 6.5y NC5.5 Social Senior Preferred around swaps +185bps through BNPP, BofA (B&D), CA, DB and Santander.

  • Commerzbank is pricing €600m (max) 5.5y NC4.5 Green Senior Non-Preferred at swaps +195bps through Commerzbank (B&D), CA, Danske, Natixis and UBS.

  • S-Bank plans to sell €500m 5y Covered this week through Danske, Erste, LBBW and Nordea.

  • Banco Popolare die Sondrio plans €500m (max) 5y NC4 Green Senior Preferred after investor calls on 18 September through BNPP, Citi, DB and IMI.

  • Webuild SpA plans €400m 5y after investor calls on 18 September through BofA, BNPP, GS, HSBC, IMI, Natixis and UniCredit.

  • KHFC may sell EUR 4y Social Covered bonds tomorrow through BNPP, ING, Natixis, Standard Chartered and UBS.

  • Deutsche PBB is pricing €500m (max) long 4y Covered around swaps +27bps through Commerzbank, Erste, Helaba, UBS and UniCredit.

  • Hamburg Commercial Bank plans EUR 3.5y Senior Preferred through Caixa, Commerzbank, DB, GS, Jefferies and UBS.

  • Grenke Finance AG plans EUR long 3y Green through DB, GS and HSBC.