Total Derivatives

Structures - USD

S&P futures are down as some of the froth blows off risky assets, GME excepted. Ahead, the FOMC meeting is widely expected to be uneventful.

ZCs saw $1.6bn in new ZCs, led by a $522m GS 40y NC5. CMS dual rangers saw more activity. Citi finds ZCs supply exceeding expectations thus far.

A bevy of ZC callables came over the past week, led by Citigroup, DBS and Credit Agricole. 10y dual CMS rangers were very active - totaling $350m.

Over $2.7bn in new ZC callables printed, with the vast majority Formosas, bringing the YTD in ZCs to just over $4bn, mostly in 30y and 40y maturities

ZC callable supply has started with a bang. In just the first two days of the year, already $1.3bn has come through in 30y and 40y maturities

BMO and National Bank of Canada came with 40y ZC Formosas, likely the last ZC Formosa prints of the year. GS and BNP Paribas launch chunky CMS.

ZC callables only saw one print - a $50m 30y NC1 by Daiwa. SocGen comes with a pair of 15y NC1 CMS-linked. JPM sees level of USD a 2020 driver of ZCs

Fixed and step-up callable activity dotted the MTN landscape, led by JPM. Only RBC comes with a long dated ZC. BofA sees subdued Formosa 2021.

Amid the shortened holiday week, Malayan Banking and Macquarie launched ZC callables while SocGen came with a pair of CMS-linked notes.

An overall slowdown in structured note activity characterized this past week. RBC was the sole ZC, while Deutsche came with a CMS-linked note.

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