Euro curve flattens further as swap spreads widen
The euro two-ten curve has narrowed to 10 basis points from 22 a month ago, with the ten-year EuroSTR swap rate sitting at the 82nd percentile of its one-year range. Swap spreads to the AAA government curve have widened modestly across the ten- and thirty-year points, to minus 21.5 and minus 45.4 basis points respectively. Credit held steady, with iTraxx Main at 59.2, down 4 over the month, while cross-currency swap prints matching insurer book structures ran at 38 against a 21-day average of 31.6.
The day's story may be elsewhere · Rates: Rates rise again, forward-starting activity lags its own average — the ten-year at the 92th percentile of its one-year range, +21 bp on the week.
EUR curve
Par curve, latest day, %
2y · 10y · 30y €STR history, %
EURIBOR – €STR basis, bp
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.
GBP curve
SONIA par curve, latest day, %
2y · 10y · 30y SONIA history, %
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.
Swap spreads
€STR – AAA by tenor, latest, bp
2y · 10y · 30y swap spread history, bp
€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.
Inflation
Breakeven curves, latest, %
5y · 10y breakeven history, %
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.
Credit
iTraxx 5y, bp
Income potential: AAA 5y + iTraxx Main, %
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.
Tape flow
Fixed-float prints per day
Cross-currency swaps per day
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.
Insurer-linked prints today
Prints matching insurer-book structures, per day
Structures and latest counts
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.
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.
About this page · 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.
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