Goldman Sachs - New Issues - € B'mark Sr Bail in
8NC7
IPT: 145
FV: 107 - the existing GS 0.75% 2032, which is just over 7 years workout, has a price of 83 and trades at 98bps Z spread. We add 9bps for the low price. Yesterday we commented that GS, despite really strong results, looks to be expensive in EUR, these new issues seem to have generous IPTs that might shift the secondary curve more towards its rating implied FV. https://mni.marketnews.com/3Wl5FDW
4NC3 FRN
IPT: 3ME+105
FV: 3ME+70 - In Sr space, GS trades tight to JPM and BAC, so could easily come meaningfully inside WFC 3.901% Float at ME+71, although in Sr space GS stands out as expensive. On Fundamentals FV at 75 makes sense, relative to the SNR EUR curve, 65 would be more appropriate. We split the difference.
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This morning's UK labour market data had a light hawkish impact on EUR rates, but ECB-dated OIS continue to price 118bps of easing through the end of next year.
Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Cut-adjusted Effective ESTR Rate (bp) |
Jan-25 | 2.635 | -28.0 |
Mar-25 | 2.318 | -59.7 |
Apr-25 | 2.083 | -83.2 |
Jun-25 | 1.916 | -99.9 |
Jul-25 | 1.836 | -107.9 |
Sep-25 | 1.781 | -113.4 |
Oct-25 | 1.759 | -115.6 |
Dec-25 | 1.736 | -118.0 |
Source: MNI/Bloomberg. |
Hawkish adjustments in GBP STIRs following the firmer-than-expected UK wage data (greater details in previous bullets).
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
Dec-24 | 4.696 | -0.4 |
Feb-25 | 4.543 | -15.7 |
Mar-25 | 4.487 | -21.3 |
May-25 | 4.344 | -35.6 |
Jun-25 | 4.282 | -41.8 |
Aug-25 | 4.172 | -52.8 |
Sep-25 | 4.151 | -54.9 |
Nov-25 | 4.086 | -61.4 |
Dec-25 | 4.059 | -64.1 |