Total Derivatives

Structures - USD

Swap spreads are tighter as FIG issuers arrive. MS FICC surges. Brevan sees assets rise and trims its long. Formosa drivers.

$2.695bn in 30y and 40y ZC callables inundated the market in the past week, with $2.055bn Formosas and $640m non-Formosas. The total YTD is $4bn.

The New Year has brought forth a torrent of zero-coupon callables. In total, $1.349bn has printed thus far in a mix of 30y and 40y.

Structured note activity over the past week saw decent follow through activity from the previous week in both zero-coupon callables and dual rangers

The structured note activity saw a resurgence of activity, with AT&T and MUFG selling new Formosas, BNS active in 40y ZCs. SocGen led CMS duals.

A lack of trade headlines has ensured that USTs and spreads are steady. Barclays looks at the grind in 2020. Regulators tweak the Formosa rules.

The past week saw no ZC callables and little in the way of CMS structures, but step-up and fixed callables continued to print new notes, led by JPM.

Bank non-Formosa ZC callables saw flows while step-up and fixed callables saw new activity. Meanwhile IBRD sold some of chunky fixed callables.

As the situation of non-fixing ICE Swap Rate fixings has persisted, IBA published feedback today that overwhelming calls to expand the data set.

Zero-coupon callables shifted back to non-Formosa supply this past week, as the majority of new notes were non-Formosa. CMS-linked notes were active.

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