Euro ten-year sits at the year's high
The euro and sterling trades that reach the CFTC public tape: par curves on €STR, EURIBOR and SONIA, the swap spread to the euro-area AAA government curve, HICP and RPI breakevens, the iTraxx indices, and the cross-currency swaps that carry dollar balance sheets into European bonds. The tape sees US-reporting counterparties' share of these markets — deep enough for levels; volumes are a sample.
The euro ten-year, at 3.42%, prints at the top of its one-year range, up 38 basis points on the month and 95 on the year. The curve has flattened alongside, with the two-ten spread down to 18 basis points from 30 a month ago. Sterling's ten-year has moved less, up 28 basis points on the month, while the swap spread to the AAA curve remains negative across tenors, narrowest at the two-year at minus 0.6.
The day's story may be elsewhere · Rates: The ten-year sits at the year's high — the ten-year at the 100th percentile of its one-year range, +20 bp on the week.
EUR curve
Par rates by tenor from spot-starting fixed-vs-€STR and fixed-vs-EURIBOR prints, trimmed medians. The gap between the two is the EURIBOR–€STR basis: what the market charges for term bank funding over the overnight rate.
Par curve, latest day, %
2y · 10y · 30y €STR history, %
EURIBOR – €STR basis, bp
GBP curve
Par rates from fixed-vs-SONIA prints. Sterling is a fifth of the euro flow on this tape, so the 1y, 3y and 7y nodes are often missing on a given day and the history is shown where the node printed.
SONIA par curve, latest day, %
2y · 10y · 30y SONIA history, %
Swap spreads
€STR par swap minus the euro-area AAA government spot curve published daily by the ECB, in basis points: the European counterpart of the swap spread on the Rates page. Positive means swaps yield more than the safest governments, which is the usual sign in Europe.
€STR – AAA by tenor, latest, bp
2y · 10y · 30y swap spread history, bp
Inflation
Zero-coupon inflation swap breakevens from near-spot prints: euro HICP ex-tobacco and UK RPI. The RPI figures carry the RPI–CPIH wedge and the 2030 reform, so they are not comparable with HICP level for level.
Breakeven curves, latest, %
5y · 10y breakeven history, %
Credit
The iTraxx Europe indices from the Credit page: Main and Senior Financials in spread, Crossover in spread alongside them on the same axis. On-the-run 5-year series, daily medians.
iTraxx 5y, bp
Income potential: AAA 5y + iTraxx Main, %
Tape flow
EUR and GBP fixed-float prints per day, forward-starting EUR swaps, swaptions, and the EUR/USD and GBP/USD cross-currency basis swaps — the instrument that turns a dollar liability into a European bond, and the largest single derivative line in several insurers' books.
Fixed-float prints per day
Cross-currency swaps per day
Insurer-linked prints today
Today's European prints that match structures in insurers' Schedule DB books: cross-currency swaps at the sizes and tenors Athene and Corebridge carry by the thousand, sterling liability hedges, and long uncleared euro swaps. A match says the structure is the kind an insurer holds, not who traded it. The books and the tests are on the Insurers page.
Prints matching insurer-book structures, per day
Structures and latest counts
Method & caveats
Derived from the DTCC public price dissemination rates and credit files and the ECB's published yield curve; nothing licensed.
- Par node
- Median fixed rate of spot-starting prints whose maturity lands on the tenor, after trimming the top and bottom deciles; a node needs three prints.
- €STR vs EURIBOR
- Split on the floating-leg underlier. The EURIBOR curve mixes 3M and 6M legs as the tape does not separate them; 6M dominates at the long end.
- AAA curve
- ECB euro-area AAA central-government spot curve (Svensson), carried forward up to seven days when the tape has a day the ECB does not.
- Breakeven
- Trimmed median fixed rate of zero-coupon inflation swaps with effective date within 20 days of execution, by tenor.
- Cross-currency swap
- Float-for-float EUR/USD or GBP/USD swaps. Sizes are shown in dollars at a fixed conversion for comparability; the tape rounds notionals to the nearest million.
Requests
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