FINANCIALS: Goldman Sachs - New Issues - € B'mark Sr Bail in - FV
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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STIR: 118bps of ECB Cuts Priced Through ‘25; German IFO Headlines Today
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.
- OIS more than fully price 25bp cuts through the January and March gatherings, with 23.5bps of sequential cuts also priced through April.
- Euribor futures are flat to -2.5 ticks through the blues.
- Yesterday afternoon, ECB Executive Board member Schnabel echoed the broader Governing Council view that price stability is within reach and a further dialling back of policy restriction is towards neutral is appropriate.
- However, there were still some hawkish strands in her speech, with little indication that she would support cutting rates into accommodative territory i.e. below neutral.
- Today’s regional data calendar is headlined by the German IFO survey, while monthly Eurozone trade data may also be of interest.
- The ECB’s Kazimir and Rehn are scheduled to speak this morning.
| 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. | ||
CROSS ASSET: Treasuries and Emini test session lows
- The EUR test broader small lows, a combination of the Pound Strength following the UK Data, but the Dollar is also seeing further demand, as Tnotes and the Emini test session lows.
- As noted on the Govie open, immediate support in TYH5 comes at 109.20, but most Desks will have their Eyes on 4.50% in 10yr Yield.
- EUR is at session low against the GBP, USD, JPY, CNH, while the Dollar is at the intraday high versus PLN, CZK, MYR, CHF, SEK and NOK.
STIR: Less Than 65bp Of BoE Cuts Priced Through '25 After Wage Data
Hawkish adjustments in GBP STIRs following the firmer-than-expected UK wage data (greater details in previous bullets).
- SONIA futures flat to -9.0, off early session lows.
- BoE-Dated OIS shows 0.5bp of cuts for Thursday, 15.5bp of cuts through February, 21.5bp through March and 64bp through December ’25.
- That compares to 0.5bp, 19.5bp, 27bp and 73bp late yesterday.
- Full discounting of the next 25bp rate cut has been pushed back to May from March.
- December ’25 MPC meeting pricing is set to close at the most hawkish level seen since mid-November, last printing more than 20bp off December’s dovish extremes.
- Expect today’s wage data to make most MPC members more cautious when it comes to the idea of further cuts.
- We already expected the BoE to leave bank rate unchanged at Thursday’s decision, with an 8-1 vote split (Dhingra dissenting).
- This data outcome has further reduced the odds of dovish dissenters joining Dhingra.
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 |
