Aurelien Tchouameni

The yield curve displays a pronounced steepening pattern across the 15-17 day tenor structure. The 15-day bucket shows the cheapest YES probabilities, with several markets trading at 2-3% (CODAWANB29, CODSMOUTO8, SENPGUEYE18) and clustering heavily in the 4-12% range across the Mexico execution and England contingent markets. By contrast, the 16-17 day buckets show material probability increases, with several markets reaching 44-51% (USACPULIS11 at 47%, ESPLYAMAL10 at 51%, ESPMOYARZ10 at 50%). This steep upward slope suggests the market is pricing in a significant probability concentration occurring between day 15 and day 17, rather than a gradual accumulation of event likelihood. The steepening curve structure implies the market currently views the event as unlikely to occur in the immediate 15-day window but substantially more probable within the 16-17 day window. The sharp discontinuity between tenor buckets—with probabilities roughly doubling or tripling from the shortest to slightly longer tenors—indicates market participants expect a discrete catalyst or resolution trigger clustered around days 16-17. This is not a curve suggesting gradual event probability buildup; rather, it reflects concentrated uncertainty about whether a specific near-term event occurs, with the market assigning low baseline probability to immediate resolution but elevated probability to a narrower window just beyond.