EU CREDIT SUPPLY: Chorus (CNUNZ): Guidance
Nov-20 12:12
• MNI FV: MS+95a.
• Guidance: EUR400m WNG 7Y MS+100a (market sources).
• IPT: MS+130-135.
• Books above EUR1.9bn.
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Historical bullets
EGB SYNDICATION: 3.25% Jan-34 ESTONI tap: Spread set
Oct-21 12:03
- Spread set at MS + 72bps (guidance weas MS + 80bps area then revised to MS + 75bps area)
- Tap Size: E500bln (WNG)
- Books in excess of E1.55bln (inc E120mln JLM interest)
- Settlement: 28 October 2025 (T+5)
- Joint Leads: Erste Group, J.P. Morgan (B&D) and Societe Generale
- Timing: Books to close at 13:30BST / 14:30CET
From market source
STIR: Repo Reference Rates
Oct-21 12:01
- Secured Overnight Financing Rate (SOFR): 4.16% (-0.02), volume: $2.945T
- Broad General Collateral Rate (BGCR): 4.12% (-0.04), volume: $1.164T
- Tri-Party General Collateral Rate (TCR): 4.12% (-0.04), volume: $1.135T
- (rate, volume levels reflect prior session)
US TSYS: Early SOFR/Treasury Option Roundup
Oct-21 11:56
Rather modest SOFR/Treasury option volumes to report early Tuesday, as the US Gov enters shutdown day 20. Underlying futures mildly higher (TYZ5 113-21 +2) while US$ index firmer. Projected rate cut pricing largely steady vs. late Monday levels (*): Oct'25 at steady at -24.7bp, Dec'25 at -49.5bp (-50bp), Jan'26 steady at -63.7bp, Mar'26 at -77.2bp (-77bp).
- SOFR Options:
- 13,000 SFRX5 96.75/96.87 call spds, cab
- -3,000 SFRZ5 96.50/96.62 call spds, 1.25
- Treasury Options:
- 3,000 TYF6 116/117.5 call spds vs. 2,000 TYF6 114.5 calls ref 113-16.5
- -1,500 TYZ5 113.5 calls, 43 vs. 113-16.5/0.52%
- 1,800 TYF 111.5/115.5 strangles ref 113-16.5
- +4,300 TYZ5 115.5 calls, 14 vs. 113-29/0.15%
- +2,000 TYX5 114/114.25/114.5 call flys, 2 vs. 113-24/0.08%
- 2,000 TYX5 113.25/113.75 1x2 call spds, 6 ref 113-20.5
