OUTLOOK: Price Signal Summary - Bear Threat In Gilts Still Present

SX7E (19th Sep) 215/245^^, bought for 2.15 in 6k vs 1.44k at 225.50.

E1.0bln tap of the 3.5% Apr-29:

• Spread set previously at MS+9 (guidance was MS+10bps area)
• Hedge ratio: 111% vs DBR 0 ¼ 02/15/29
• Coupon: 3.500% (150 days accrued), Annual ACT/ACT
• Maturity: 11 April 2029
• ISIN: EU000A2SCAL3

E1.0bln tap of the 2.875% Feb-34 tap:

• Spread set previously at MS+33 (guidance was MS+34bps area)
• Hedge ratio: 100% vs DBR 2.2 02/15/34
• Coupon: 2.875% (207 days accrued), Annual ACT/ACT
• Maturity: 13 February 2034
• ISIN: EU000A2SCAN9

Across both tranches:

• Size combined: E2.0bln (follows E3.5bln maximum combined set earlier, MNI expected E3bln but saw a chance of a smaller transaction)
• Books: closed in excess of €6.5bn (inc. €500m JLM)
• Settlement: 8 September 2025 (T+5)
• Bookrunners: LBBW / NOMURA (DM/B&D) / TD
• Denoms: EUR 1,000 x 1,000
• Target market: Professionals / Eligible Counterparties only (all distribution channels), each as defined in MiFID II
• Issuer: European Financial Stability Facility (EFSF)
• Ratings: Aaa (stable) / AA- (stable) / AA-
• Risk Weighting: 0%
• Format: RegS / Bearer Notes (TEFRA rules apply, no communications with or into the U.S.)
• Timing: Hedge deadline at 12:40pm LDN. Pricing to follow after hedge book closes

• In the FI space, Bund futures are softer today but continue to trade above their August lows. Resistance at the 50-day EMA, at 129.77, has recently been pierced. A clear breach of the EMA would signal scope for a stronger recovery within the multi-month range. This would open 130.06, the Aug 14 high. Key support and the bear trigger lies at 128.64. Clearance of this level would reinstate the recent bearish theme.
• A bear cycle in Gilt futures is in play and last week’s fresh cycle low reinforces current conditions. Note that on the continuation chart, moving average studies are in a bear-mode position, highlighting a clear downtrend - for now. First support to watch is 90.22 (pierced), the Aug 26 low. A clear break would resume the bear leg and open the 90.00 handle. Initial resistance is at 91.24, the Aug 18 high.