Bid across the grid
New structured issues
Bid across the grid
Euro vols stayed bid today after German inflation printed higher-than-consensus and kept the pressure on euro rates. The 10y Bund yield climbed another 7bps to 2.72%, around 20bps higher so far this week.
Elsewhere, the short-end of the curve took another hit with reds dropping up to 10bps and down 50bps since last Friday’s open. In the top left, 1y1y is up 5.8 normals today at 109.9 and 10 normals higher on the week.
The right-hand side also posted gains with several pieces managing to keep up with gains in the top right. For instance, 3m10y is up 5.8 normals at 113.9 and 3m30y up 5.2 at 99.2.
Finally, vega also saw a decent increase in implieds with 5y10y up 2.5 at 92.4 while further out 10y30y was up 1.3 at 65.0. “In percentage terms, vega has seen a reasonable move,” pointed out one dealer, “It’s probably a mix of the move in gamma and also the forwards adjusting,” he suggested.
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
Callables
Kuntarahoitus issued €100m 20y NC2 callable due Mar 2043. Coupon pays 4.47% with single call in Mar 2025. Led by Goldman Sachs.
CIC issued €10m 15y NC10 callable due Mar 2038. Coupon pays 4.5% with single call in Mar 2033. Led by Deutsche Bank.
CIC last week issued €20m 15y NC10 callable due Mar 2038. Coupon pays 4.36% with single call in Mar 2033. Led by JP Morgan.
Credit Agricole last week issued €6m 10y NC2 Green callable due Mar 2033. Coupon pays 4.54% with single call in Mar 2025. Self-led.
KfW issued €30m 7y NC2 due Mar 2031. Coupon pays 4.07% with single call in Mar 2025. Led by BNP Paribas.
KfW last week issued €70m 10y NC1 callable due Mar 2033. Coupon pays 4% with calls in Mar 2024 and Mar 2026. Led by Goldman Sachs.
CMS
National Bank of Canada last week issued €10m CMS-linked note due Mar 2031. Coupon pays 5.5 * EUR 2s/20s capped at 10% and floored at zero. Led by UBS.
Credit Agricole last week issued €25m CMS-linked note due Mar 2035. Coupon pays EUR 20y capped at 5.5% and floored at 3%. Self-led.
Citigroup last week issued €25m CMS-linked note Mar 2035. Coupon pays EUR 20y +143bps capped at 5% and floored at 3%. Self-led.
Citigroup last week issued €2m CMS-linked note due Mar 2038. Coupon pays 1.47 * EUR 20y floored at zero. Self-led.
Natixis last week issued €50m 20y CMS-linked note due Mar 2035. Further details unavailable. Self-led.
