Total Derivatives

Structures - EUR

Some traders remain wary about selling top right gamma. New deals include a CMS1010. Citi looks at EUR vs USD vega.

Callables and repacks continued to print over the last 10 days as spreads increased, in spite of the chaos.

Increasing remote working was affecting the vol market, traders warned today. In research, Barclays looks at even lower for even longer.

Despite a wild ride in rates, vol and credit over the last 10 days, a handful of structured deals printed plus a vanilla century bond.

Massive volatility in spreads and rates slashed the pace of MTN issuance this week and also weighed on the public market.

Clients have been more active in euro vol today. Elsewhere, regional banks could be facing callable losses from the €STR transition.

Viral volatility has curtailed new issuance. However, over a two-week window the market has seen some bank callables, CMS and repacks.

The switch from EONIA to €STR discounting threatens to create big windfalls vs losses across EUR interest rate option desks.

New structured euro issuance is dominated by callables, with JP Morgan the most active over the past week.

MTN issuance included more bank callables, a handful of repacks and a few long vanilla bonds print over the last week.

Load More Structures - EUR