USD Vol: Offers lifted as vols rise once again

Offers lifted as vols rise once again

The front end has rallied further in a continued bull steepening move, with swap rates anywhere from +4bps in the back end to  -11bps in the front end. The vol surface is higher, however, with gains in 3m expiries up 3 to 5.5 normals, led by the left side.

One source noted that although today has seen milder realized volatility, recent realized volatility has remained high, thus justifying the levels of implied volatility for the most part. “You are not really getting 1m10y realized but you are getting realizeds in the front end,” the source pointed out.

Skew activity has continued to show interest to protect against lower rates in the front end of the curve, though levels have dropped down from yesterday, with, for example, 6m2y 100bp each way trading at -11bps this morning and then at -9.75bps this afternoon, after dealing at -11.5bps yesterday. “It’s an insurance trade,” one trader suggested, against a strong, end-of-the-world or banking crisis protection type trade.

In other skew trading, 3y10y 100bp each way dealt at +60bps, after seeing a market yesterday at 60/64bps, sources say. And a 7y20y ATM vs. 200bps low traded at 1165bps and 228bps, respectively.

In other interbank activity, 5y10y traded at 1410bps, then up at 1424bps and 1430bps last. 1y10y traded at 767bps, then up at 774bps and 776bps, and 1y1y traded at 132bps and a piece of 4y15y dealt at 1696bps and 4y30y traded at 2510bps, according to sources and the SDR.

One trader noted that most trades today have been offers lifted, and it appears that there is a “good buyer of vol” out there.

For USD option trades on the SDR see here and for volumes please see here.  

New structured notes

For a complete review of USD MTN activity over the past week, please see USD MTNs.

• ANZ Banking sold a $100m 20y NC7 zero coupon callable (non-Formosa). The EMTN matures Mar 2043 and is callable every five years starting Mar 2030. Self-led. Estimated IRR 4.93%. Announced Mar 23.

   

• Societe Generale is working on a self-led CMS-linked note maturing Mar 2029 NC1 that pays 9% the first year and then pays a coupon tied to CMS30y, floored at zero. Domestic MTN.

   

• Goldman Sachs is working on a fixed callable maturing Apr 2025 NC6m that pays 5.5%. Domestic MTN.

   

• Goldman Sachs is working on a fixed callable maturing May 2024 NC6m that pays 5.35%. Domestic MTN.

   

• Goldman Sachs is working on a fixed callable maturing Oct 2024 NC6m that pays 5.45%. Domestic MTN.

   

• JP Morgan is working on a self-led fixed callable maturing Apr 2024 NC6m that pays 5%. Domestic MTN.

   

• Citigroup is working on a self-led fixed callable maturing Apr 2029 NC2 that pays 4.9%. EMTN.

   

• Credit Agricole is working on a self-led fixed callable maturing Mar 2033 NC1 that pays 5.2%. EMTN.

   

• CIBC is working on a self-led CAD extendible with initial maturity Mar 2024 and then extendible to Mar 2026 that pays 4.5%. Canadian.  

   

• UBS is working on a self-led fixed callable maturing Apr 2024 NC6m that pays 4%. EMTN.

   

• UBS is working on a self-led fixed callable maturing Apr 2026 NC1 that pays 4.87%. EMTN.

   

• Royal Bank of Canada is working on a self-led fixed callable maturing Mar 2033 NC2 that pays 5.65%. GMTN.