EUR Vol: Short-dated expiries gain; KfW callable

Prices chart 11 Oct 2021
Short-dated expiries posted gains. In structured issuance, another KfW callable hits the screens.

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  • Short-dated expiries gain
  • New structured issues: KfW

    Short-dated expiries gain
    Short-dated expiries posted gains today with 1m pieces firming up to 3.5 normals after picking up two business days over the weekend. Meanwhile, 2m expiries now incorporate the FOMC March meeting and moved up to 1.5 normals higher.

    Farther out, longer-dated gamma drifted lower amid a lacklustre day in the underlying. The Bund future is finishing down by about 50 ticks while the 10y Bund yield is marked around 2.20% (+3bps). Earlier, the euro swap curve steepened up a touch after the EU announced it will tap its 30y bonds on Tuesday.


    Elsewhere, vega is down by up to 0.5 normals. After a slow start to the year, the number of callables hitting the screen has picked up pace in recent sessions. Among them, KfW has issued €100m 3y NC1 and €100m 10y NC1 (see details below). 


    For euro option trades on the SDR see here and for volumes please see here. Note that the Total Derivatives SDR now shows broker/platform information for each trade, where available. 



    New structured issues: Another KfW callable

  • KfW issued €50m 3y NC1 callable due Jan 2026. Coupon pays 2.925% with calls in Jan 2024 and Jan 2025. Led by Citi. Note that KfW also recently issued €50m 3y NC1 via SocGen and €100m 10y NC1 via Goldman Sachs, see EUR MTNs

  • Hypo Vorarlberg issued €10m 22y NC7 callable due Feb 2045. Coupon pays 3.5% with single call in Feb 2030. Led by LBBW.

  • Kuntarahoitus issued €10m 10y NC2 callable due Jan 2033. Coupon pays 3.66% with single call in Jan 2025. Led by Commerzbank.

  • Barclays issued €11m CMS-linked callable due Feb 2038. Coupon pays 3.5% fixed until Feb 2025. It then pays EUR 20y capped at 10% and floored at 2%. Single call in Feb 2035. Self-led.

  • Citigroup issued up to €50m (max) inflation-linked note due Mar 2028. Coupon pays 5% until Mar 2024. It then pays Euro HICPx floored at 0%. Self-led.


    For a summary of last week's issuance, please see EUR MTNs: EBRD and KfW callables