HYBRIDS: Orange Hybrid FV (B’mark PerpNC7; Baa3/BBB-/BBB-)
Jun-12 08:15
- IPT given at 4.625%
- 7yr swap is 234bps
- ORAFP 7yr seniors sit around Z+72
- Comps for sub_sen
- ENGIFP 5 1/8 (7.8yrs to call, Baa3/BBB-/BBB-) have 117bps
- EDPPL 4.5 (6.5yrs to call, Baa3/BB+/BB+) have 125bps
- TELEFO 5.7522 (6.6yr to call; Ba2/BB/BB+) have 173bps
- PROXBB 4.75 (6yr to call; BB+/Baa3) have 167bps
- VOD 3 (5yrs to call, Ba1/BB+/BB+) have 134bps
- We put FV for senior sub around 115bps
- Adding it all together we get 234bps+72bps+115bps = 4.21% FV
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FOREX: FX OPTION EXPIRY
May-13 08:11
Of note:
EURUSD 1.39bn at 1.1140/1.1150.
EURUSD 2.25bn at 1.1100 (thu).
AUDUSD 1.2bn at 0.6475 (thu).
NZDUSD 1.03bn at 0.5880 (thu).
EURUSD 2.41bn at 1.1200 (fri).
USDCAD 2.3bn at 1.3975/1.4000 (fri).
- EURUSD: 1.1140 (840mln), 1.1150 (550mln).
- GBPUSD: 1.3200 (730mln).
- EURGBP: 0.8405 (435mln).
SEK: Early Strength Noted, Initial Support In EURSEK and NOKSEK Untested For Now
May-13 08:07
Some idiosyncratic SEK strength noted over the past ~45 minutes, with EURSEK extending to fresh session lows at typing - no obvious headline trigger noted. This week’s Swedish calendar is heaviest tomorrow, with the final April CPIF report due at 0700BST/0800CET (following the lower-than-expected flash print) and the Riksbank May meeting minutes at 0830BST (following the slight dovish guidance tilt in last week's policy statement).
- EURSEK is down 0.4% on the session at 10.8480. Initial support is the May 7 low at 10.8375, clearance of which would expose clustered support around 10.8000 (76.4% retrace of the April 3 – Apr 11 rally at 10.8005; April 4 low at 10.7941).
- Initial resistance is the 20-day EMA at 10.9442, which has contained upside in the cross the prior six sessions.
- NOKSEK is down 0.3% on the session, but support at the 20-day EMA (0.9311) and the trendline drawn from the April 9 low (0.9283 today) remains untested. Shallower pullbacks will be considered corrective.
SWAPS: German ASW Curve Twists, Eyes Supply & Broader Risk Backdrop
May-13 08:00
German ASWs vs. 3-month Euribor are +0.5bp to -0.5bp.
- The front end of the curve outperforms, despite the impending Schatz auction, probably owing to a steadier risk backdrop after Monday’s equity rally.
- Weakness in the long end of the outright German bond curve/curve steepening seems to play into moves further out the ASW term structure, the presence of long end supply out from the EU and Netherlands may be a factor here.
