0y
5y
10y
15y
-25
T-6 Months
Curve Evolution
-30
T-3 Months
T-1 Month
-35
T-1 Week
Friday
-40
CHF$ weekly summary:
-45
For the latest pricing, please visit our CHF reference page:
Bloomberg - 'GOTX 5 <GO>'
Reuters - 'GOTTEXREF'
-50
-55
Gazprom's CHF 5y issue was the main story of the week providing
selling flow in the middle dates.
-60
-65
Monday 21st November
-70
25-Oct
-40
25-Nov-16
30-Oct
4-Nov
9-Nov
14-Nov
19-Nov
24-Nov
A very quiet start to the week with prices limited to the shorter dates. The
3months remained softer moving down to -58 while the 2y closed -45.5 / -44.5
and the 3y was offered at -44.
Tuesday 22nd November
A significant pick up in the middle dates. After starting -50.5 / –49.5, the 5y was
hit at -50.5, where this crossed multiple times throughout the day. The 2y dealt
outright at -46.75, then 2y5y was lifted at -3.5 on legs against more 5y given at 50.5 and 2y paid again at -46.75. 18months dealt at -48.25.
-45
-50
-55
Later in the day the 5y closed -50.5 / -50 before dealing at -50.25, while the 7y9y
spread dealt at -4.25 after a -4.5 / -4 market.
3 Months
2 Year
With the forwards pushing to the left, the 1y closed -51 / -50, before dealing
multiple times at -50.5.
5 Year
-60
10 Year
Wednesday 23rd November
chf$ Basis : Last Month
Issuance news came in the form of Gazprom (Gaz Capital S.A.), with a CHF
500mio 5y offering, but the lack of activity pointed to this being swapped through
on Tuesday.
-65
18-May
-30
7-Jul
26-Aug
15-Oct
4-Dec
chf$ Basis : Last 6 Months
-35
The 1y was revisited -51.5 / -50.5 and there was spread interests with the 4y7y
bid -10 and the 9y15y closing +1.25 / +1.75.
On outright the 3y closed -48.5 / -46.5 and small 10y dealt at -63 working -63.25
/ -62.75 on the follow.
-40
-45
Thursday 24th November
-50
With the US closed for Thanksgiving we saw a slower day in the chf$ space until a
10y bid was refreshed at -63.25, which was later given. We later saw flurry of
bids shown along the curve; 5y bid -51.25, 6y bid -54.75. With the first break
falling to -63.5 this bids dissipated and the 4y was offered at -47.5.
-55
-60
-65
-70
2 Year
-75
5 Year
10 Year
-80
5
0
18-May
chf€ Basis : Last 6 Months
7-Jul
26-Aug
15-Oct
Into the afternoon, CHF mirrored the EUR with the front end turning back
upwards and the 1y was bid -51.
Friday 25th November
A very calm end to the week with little in the way of movement or interests. The
4y was offered at for choice -47.5, while the first inched higher to close the day at
-62.5.
4-Dec
The Week's Issues:
-5
Gazprom (Gaz Capital S.A.) : CHF 500mio 5y
-10
Next Week's Calendar:
-15
2 Year
-20
5 Year
10 Year
-25
-30
28th Nov : Total Sight Deposits , Nov 25, (Prior 524.7Bio)
28th Nov : Domestic Sight Deposits, Nov 25, (Prior 458.4Bio)
30th Nov : UBS Consumption Indicator, Oct, (Survey 1.55, Prior 1.59)
30th Nov : KOF Leading Indicator, Nov, (Survey 104.0, Prior 104.7)
1st Dec : Retail Sales Real YoY, Oct, (Survey -2.2%, Prior -2.3%)
1st Dec : PMI Manufacturing, Nov, (Survey 54.4, Prior 54.7)
2nd Dec : GDP QoQ, 3Q, (Survey 0.3%, Prior 0.6%)
2nd Dec : GDP YoY, 3Q, (Survey 1.8%, Prior 2.0%)
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