(ENELIM; Hyb Baa3/BB+/BBB-)
• Guidance: PerpNC6 Size €1-1.25bn @4.25%#
• Books >€5.75bn
• IPT: PerpNC6 €BMK 4.75%a
• FV: 4.15% to give z+155; Sub_Sen +88.
• Comps: ENELIM 6.625 NC31 z+146 Sub_Sen +86; ENELIM 4.5 NC33 z+164; Sub_Sen +90
• Guidance: PerpNC9 €750m-1bn @4.625%#
• Books >€5.75bn
• IPT: PerpNC9 €BMK 5.25%a
• FV: 4.65% to give z+183; Sub_Sen +92.
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Covering some shorts.
The 10-year BTP/Bund spread has exhibited impressive resilience amid the latest uptick in EUR rates volatility. EUR 3m10y swaption vol is currently up 4.5bps on the session at a multi-week high of ~60bps, but BTP/Bund is only 1bp wider and is hovering just below the 70bp figure. Recent price action seemingly reflects BTP-positive themes that have been present throughout the year. That includes improving domestic fiscal fundamentals and more political stability in Italy compared to semi-core peers such as France.
Figure 1: 10-year BTP/Bund Spread Versus 3m10y EUR Swaption Vol (Source: Bloomberg Finance L.P.)

Figure 2: EUR Swaption Vol Since 2022 (Source: Bloomberg Finance L.P.)
