Bond Type | Issuer | Exp Rating | Ticker | B'mark | Amount (bn) | Spread (bp) | Δ IPT (bp) | BBG NIC (bp) | Cover (x) |
Banks (Sr Bail-In) | RAIFFEISEN BANK INTL | BBB | RBIAV 4 5/8 08/21/29 | MS | 0.50 | 195 | 40 | N/A | 7.2 |
Banks (Sr Pref) | BPER BANCA | BB+ | BPEIM 4 1/4 02/20/30 | MS | 0.50 | 160 | 40 | N/A | 4.8 |
Banks (Sr Unsec) | MIZUHO FINANCIAL GROUP | A- | MIZUHO 3.98 05/21/34 | MS | 0.75 | 130 | 38 | 20bp | 3.5 |
Banks (T2) | BPCE SA | BBB | BPCEGP 4 7/8 02/26/36 | MS | 0.50 | 230 | 40 | N/A | 11.2 |
Capital Goods | SIEMENS FINANCIERINGSMAT | AA- | SIEGR 3 11/22/28 | MS | 1.00 | 35 | 35 | 12bp | 2.5 |
Capital Goods | SIEMENS FINANCIERINGSMAT | AA- | SIEGR 3 1/8 05/22/32 | MS | 1.25 | 55 | 35 | 11bp | 2.6 |
Capital Goods | SIEMENS FINANCIERINGSMAT | AA- | SIEGR 3 3/8 02/22/37 | MS | 1.25 | 73 | 37 | 12bp | 3.3 |
Capital Goods | SIEMENS FINANCIERINGSMAT | AA- | SIEGR 3 5/8 02/22/44 | MS | 1.50 | 103 | 37 | 16bp | 4.0 |
Consumer Staples | UNILEVER FINANCE | A+ | UNANA 3 1/2 02/15/37 | MS | 0.60 | 75 | 38 | 10bp | 5.0 |
Consumer Staples | UNILEVER FINANCE | A+ | UNANA 3 1/4 02/15/32 | MS | 0.60 | 55 | 38 | 0bp | 4.6 |
Covered | BANCO BPI SA | AAA | BPIPL 3 1/4 03/22/30 | MS | 0.50 | 64 | 6 | N/A | 5.7 |
Covered | SR-BOLIGKREDITT AS | AAA | SRBANK 3 1/8 02/19/32 | MS | 0.50 | 44 | 4 | -2bp | 2.1 |
REIT | KLEPIERRE SA | BBB+ | LIFP 0 09/23/33 | MS | 0.60 | 130 | 35 | TBD | TBD |
Services | ALD SA | A- | ALDFP 3 7/8 02/22/27 | MS | 1.00 | 105 | 23 | 9bp | 2.4 |
Services | SECURITAS TREASURY IRELA | BBB | SECUSS 0 02/23/30 | MS | 0.50 | 115 | 43 | TBD | TBD |
TelCo | VERIZON COMMUNICATIONS | BBB+ | VZ 3 1/2 06/28/32 | MS | 1.00 | 90 | 35 | -4bp | 2.3 |
TelCo | VERIZON COMMUNICATIONS | BBB+ | VZ 3 3/4 02/28/36 | MS | 1.00 | 108 | 37 | 2bp | 3.4 |
Utilities | SNAM SPA | BBB+ | SRGIM 3 3/8 02/19/28 | MS | 0.50 | 70 | 43 | 1bp | 5.8 |
Utilities | SNAM SPA | BBB+ | SRGIM 3 7/8 02/19/34 | MS | 1.00 | 120 | 33 | 12bp | 2.1 |
Utilities | STATNETT SF | A+ | STATNE 3 3/8 02/26/36 | MS | 0.50 | 68 | 37 | 19bp | 3.8 |
Utilities | UNITED UTILITIES WAT FIN | A- | UU 0 05/23/34 | MS | 0.65 | 110 | 30 | TBD | TBD |
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Bank of America note that “the USD has rallied against all G10 currencies in early ‘24.”
The strong US retail sales print sees a further moderation in the degree of rate cuts priced into ECB-dated OIS, with 138bps of easing priced through 2024 at typing (vs. a post-data extreme of 136bps and vs. 140bps earlier this morning).
Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
Jan-24 | 3.904 | 0.00 |
Mar-24 | 3.861 | -4.3 |
Apr-24 | 3.702 | -20.2 |
Jun-24 | 3.413 | -49.1 |
Jul-24 | 3.157 | -74.8 |
Sep-24 | 2.909 | -99.5 |
Oct-24 | 2.716 | -118.8 |
Dec-24 | 2.527 | -137.7 |