USD MTNs: NIB, RBC lead ZC activity; Formosas; CPI-linked

NIB, RBC lead ZC activity; Formosas; CPI-linked  

Zero-coupon callables – all non-Formosa - saw five new notes in the past week amid the extreme volatility – and as dealers looked around for potential sellers of vol.  The largest and longest came from Nordic Investment Bank - a $80m 20y NC6. Royal Bank of Canada printed to ZCs - a $30m 15y NC10 and a $10m 10y NC6. Elsewhere, Goldman Sachs sold a $10m 10y NC1 and ING Bank came with a $10m 10y NC2.

In Formosa activity, Merrill Lynch sold a 10y non-callable $35m floating Formosa that pays a coupon of 1y ICE SOFR +165bps. Also, earlier this month, Taiwan Cooperative Bank sold a $14m 5y Formosa that pays 5.3% for the first year and then pays 5.3%*days CMS10y is 0-4%.

CPI-linked notes saw two 2y notes from Credit Suisse - paying coupons of CPI +3% and CPI +3.27%, floored at the spread level.  

Recent structured note activity

Zero-coupon callables and Formosas:

• Royal Bank of Canada sold a $30m 15y NC10 zero coupon callable (non-Formosa). The EMTN matures Mar 2038 and is callable annually starting Mar 2032. Self-led. Estimated IRR 5.51%. Announced Mar 17.

   

  Royal Bank of Canada sold a $10m 10y NC6 zero coupon callable (non-Formosa). The EMTN matures Mar 2033 and is callable annually starting Mar 2029. Self-led. Estimated IRR 5.41%. Announced Mar 15.

   

• Goldman Sachs sold a $10m 10y NC1 zero coupon callable (non-Formosa). The EMTN matures Mar 2033 and is callable annually starting Mar 2024. Self-led. Estimated IRR 6.55%. Announced Mar 15.

   

• ING Bank sold a $10m 10y NC2 zero coupon callable (non-Formosa). The EMTN matures Mar 2033 and is callable annually starting Mar 2025. Lead N/A. Estimated IRR 6.04%. Announced Mar 15.

   

• Nordic Investment Bank sold a $80m 20y NC6 zero coupon callable (non-Formosa). The EMTN matures Mar 2043 and is callable Mar 2029. Lead Deutsche. Estimated IRR 4.901%. Announced Mar 15.

   

• Merrill Lynch sold a $35m floating Formosa. The EMTN matures Mar 2033 and is non-callable and pays a coupon of 1y ICE SOFR +165bps. Announced Mar 14.

   

• Taiwan Cooperative Bank sold a $14m 5y CMS-linked callable Formosa. The EMTN matures Mar 2028 and is callable every 3m starting Jun 2023 and pays 5.3% for the first year and then pays 5.3%*days CMS10y is 0-4%. Lead N/A. Announced Mar 9.

Inflation-linked:

• Credit Suisse is working on a self-led $8m inflation-linked note maturing Mar 2025 that pays CPI +3%, floored at 3%. Eurodollar. Announced Mar 17.

   

• Credit Suisse is working on a self-led inflation-linked note maturing Mar 2025 that pays CPI +3.27%, floored at 3.27%. Eurodollar. Announced Mar 10.

CMS-linked:

• JP Morgan is working on a self-led CMS-linked note maturing Mar 2038 NC2 that pays 10% to Dec 2024, then pays a coupon tied to CMS30y + a spread, capped at 7.5% and floored at zero. CD format. Domestic.

Step-up and fixed callables:

• Bank of America is working on a self-led step-up callable maturing Mar 2030 NC1 that pays 5.5% to Mar 2025, 6% to Mar 2028 and 7% thereafter. Domestic MTN. 

   

• Citigroup is working on a self-led fixed callable maturing Mar 2029 NC3 that pays 4.9%. EMTN.   

   

  Citigroup is working on a self-led fixed callable maturing Mar 2030 NC4 that pays 4.8%. EMTN.   

   

  Citigroup is working on a self-led fixed callable maturing Mar 2030 NC3 that pays 5%. EMTN.   

   

  Citigroup is working on a self-led fixed callable maturing Mar 2028 NC3 that pays 4.82%. EMTN.   

   

• Goldman Sachs is working on a self-led fixed callable maturing Mar 2028 NC2 that pays 5.75%. Domestic MTN. 

   

  Goldman Sachs is working on a self-led fixed callable maturing Mar 2026 NC1 that pays 5.8%. Domestic MTN. 

   

  Goldman Sachs is working on a self-led fixed callable maturing Mar 2025 NC6m that pays 5.65%. Domestic MTN. 

   

• JPM Morgan is working on a self-led fixed callable maturing Mar 2027 NC1 that pays 5.2%. Domestic MTN. 

   

  JPM Morgan is working on a self-led fixed callable maturing Mar 2026 NC6m that pays 5.15%. Domestic MTN. 

   

  JPM Morgan is working on a self-led fixed callable maturing Mar 2025 NC6m that pays 5.2%. Domestic MTN. 

   

• Royal Bank of Canada is working on a self-led fixed callable maturing Mar 2027 NC3 that pays 5.06%. EMTN.   

   

  Royal Bank of Canada is working on a self-led fixed callable maturing Mar 2030 NC2 that pays 5.65%. GMTN.

   

• Santander is working on a self-led fixed callable maturing Mar 2026 NC1 that pays 4.5%. EMTN.

   

• Societe Generale is working on a self-led fixed callable maturing Mar 2028 NC6m that pays 6%. Domestic MTN.

   

• Toronto Dominion is working on a self-led fixed callable maturing Mar 2028 NC1 that pays 5.75%. GMTN.   

   

• UBS is working on a self-led step-up callable maturing Mar 2024 NC6m that pays 4.25% to Sep 2023 and 4.35% thereafter. EMTN.

   

• Dow Chemical is working on a self-led fixed callable via InspereX maturing Mar 2053 NC6m that pays 5.8%. Domestic MTN.

   

  Dow Chemical is working on a self-led fixed callable via InspereX maturing Mar 2033 NC6m that pays 5.15%. Domestic MTN.

   

  Dow Chemical is working on a self-led fixed callable via InspereX maturing Mar 2028 NC6m that pays 4.7%. Domestic MTN.  

Extendibles:

• Toronto Dominion is working on a self-led USD extendible with initial maturity Mar 2024 and then extendible to Mar 2025 that pays 5.8%. Domestic MTN.