EU CONSUMER STAPLES: Elo/Auchan; rallying
(ELOFR: NR/BB- Neg, now NIH: Ba1/NR)
Up to -30bps/+0.75pts. We see no news since it confirmed transfer of issuer on Monday.
- Note the amended final terms are now available. They say "the Notes have been rated BBB- by S&P Global Ratings Europe Limited ("S&P") and are expected to be rated Ba1 by Moody's Investors Service Limited".
- This is not what we see - S&P implied it would not view NIH as separate entity and would hence rate it the same as holdco ELO (at BB- Neg). On July 24th it withdrew ratings on New Immo at Issuer's request, Moody's initiated on the same day at Ba1.
- Bonds should be subject to NIH's debt covenants: LTV ceiling of 50% (was at 35%), max senior secured debt ratio of 20% and interest cover > 2.0x.
Amended Final Terms: https://www.newimmoholding.com/en/#publications
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STIR: Fed Pricing A Little More Dovish After CPI Took Edge Off Bessent's Comment
Fed pricing sees a modest dovish reaction to the CPI data, although the readings provided little differentiation vs. headline BBG survey expectations on net (but did include a 0.1ppt downside surprise for unrounded M/M core CPI & a 0.1ppt upside surprise for unrounded headline CPI).
- Unrounded supercore was pretty close to the average of a limited survey sample, with our macro team noting that it was core services that limited inflation, while core goods provided a slightly hawkish surprise (see previous bullets for greater details on the release)
- A reminder that hawkish adjustments were seen ahead of the data, after Treasury secretary Bessent’s left some feeling that there may have been a more hawkish surprise in the offing.
- We suggested that he may have just been referring to a roughly in-line print given consensus expectations for a move higher across the major CPI metrics vs. May levels. This seems to have been proven true.
- FOMC-dated OIS shows 1bp of easing for this month’s decision, 16bp through September, 31bp through October and 47bp through year-end.
- That compares to 1bp, 15bp, 29bp and 46bp ahead of the data and 1bp, 17bp, 31bp and 49bp before Bessent spoke.
- SOFR-implied terminal rate pricing at 3.22% vs. 3.25% ahead of the data and 3.23% pre-Bessent (corrected from 3.33% when previously published).
STIR: Fed Pricing A Little More Dovish After CPI Took Edge Off Bessent's Comment
Fed pricing sees a modest dovish reaction to the CPI data, although the readings provided little differentiation vs. headline BBG survey expectations on net (but did include a 0.1ppt downside surprise for unrounded M/M core CPI & a 0.1ppt upside surprise for unrounded headline CPI).
- Unrounded supercore was pretty close to the average of a limited survey sample, with our macro team noting that it was core services that limited inflation, while core goods provided a slightly hawkish surprise (see previous bullets for greater details on the release)
- A reminder that hawkish adjustments were seen ahead of the data, after Treasury secretary Bessent’s left some feeling that there may have been a more hawkish surprise in the offing.
- We suggested that he may have just been referring to a roughly in-line print given consensus expectations for a move higher across the major CPI metrics vs. May levels. This seems to have been proven true.
- FOMC-dated OIS shows 1bp of easing for this month’s decision, 16bp through September, 31bp through October and 47bp through year-end.
- That compares to 1bp, 15bp, 29bp and 46bp ahead of the data and 1bp, 17bp, 31bp and 49bp before Bessent spoke.
- SOFR-implied terminal rate pricing at 3.22% vs. 3.25% ahead of the data and 3.23% pre-Bessent (corrected from 3.33% when previously published).
SOFR OPTIONS: BLOCK: Dec'25 SOFR Call Condor
- 10,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 4.0 net ref 96.125 at 0857:04ET
