HALISTER1: Long Belly of 5s10s30s Bund Fly as Lagged Fall in Volatility: SG

Long Belly of 5s10s30s Bund Fly as Lagged Fall in Volatility: SG

(Bloomberg) -- Tighter range in bund yields makes selling the wings in the 5s10s30s bund fly attractive, especially as this fly has so far lagged the drop in implied vol, Societe Generale strategist Jamal Meliani writes in client note.
  • Recommends buying RXU6 vs OEU6 and UBU6, target -15bp, stop -3bp
  • Lower rates volatility typically lowers the term premium in long-maturity rates and at the same time lowers the convexity premium in ultra-long-maturity rates
  • Hard to see anything that might push bund yields sustainably higher over the summer, while long-anticipated target for 10y bund yields at -15bp/-25bp constrains the downside potential
  • Tighter range in bund yields going forward is set to drive gamma even lower
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Jamal Meliani (Societe Generale SA)

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UUID: 7947283

HALISTER: ING, ABN to Lift Provisions for SME Rate Swap Compensation Plan

ING, ABN to Lift Provisions for SME Rate Swap Compensation Plan

(Bloomberg) -- ABN Amro to raise provision by about EU360m in 2Q after adopting framework for compensation of Dutch SME clients with interest rate derivatives as proposed by an independent committee.
  • ING sees increase of provision of ~EU150m, to be booked in 2Q
    • Van Lanschot to make additional provision of EU7m-9m in 2Q
    • SNS Bank to book provision, which will have no substantial impact on its capital position
  • Rabobank, Deutsche Bank still considering whether to adopt framework, committee says
  • SME clients to receive up to EU100,000 compensation as part of framework arrangement
Alert: HALISTER
Source: BFW (Bloomberg First Word)

Tickers
3584485Z NA (ABN AMRO Group NV)
DBK GR (Deutsche Bank AG)
INGA NA (ING Groep NV)
RABO NA (Cooperatieve Rabobank UA)
1012Z NA (SNS Bank NV)

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UUID: 7947283

HALISTER: Ghosn Tasks Top Lieutenant to Hunt for Mitsubishi Motors Savings

Ghosn Tasks Top Lieutenant to Hunt for Mitsubishi Motors Savings

Alert: HALISTER
Source: BN (Bloomberg News)

Tickers
7211 JP (Mitsubishi Motors Corp)
RNO FP (Renault SA)
7201 JP (Nissan Motor Co Ltd)

People
Arnaud Deboeuf (Renault-Nissan BV)
Carlos Ghosn (Nissan Motor Co Ltd)
Hiroto Saikawa (Nissan Motor Co Ltd)
Joseph Peter (Nissan Motor Co Ltd)
Koji Endo (Advanced Research Japan)

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UUID: 7947283

HALISTER1: EU CREDIT DAILY: GBP Quality Curve; Iliad Talks, Banker Bonuses

EU CREDIT DAILY: GBP Quality Curve; Iliad Talks, Banker Bonuses

(Bloomberg) -- Credit markets consolidating ahead of Friday’s U.S. jobs report, though corporate credit risk appetite shows no sign of capitulation, Bloomberg strategist Simon Ballard writes.
  • Embedded fragility of GBP credit market clearly highlighted by recent steepening of GBP IG/HY quality curve vs EUR market that benefits from ECB’s CSPP
    • GBP IG/HY spread currently ~380bps; +60bp approx. in last month
    • EUR IG/HY spread currently ~325bps; -20bps approx in last month
  • ECB bond buying should remain strong structural pillar of support for EUR corporate bonds/credit spreads; window of opportunity for investors/issuers to get deals done now before market potentially slows down for summer by end of this month through Aug.
  • Risk Appetite Model highlights balance between risk demand and fragile sentiment
  • CDX IG closed -0.1bps at 81.44 in overnight session; iTraxx Asia Ex Japan IG currently +0.8bps at 138.02
NEWS
  • Corporate News
  • Hutchison, VimpelCom Said in Exclusive Wireless Talks With Iliad
  • Persimmon Says Trading in 1H Was Strong, Revenue Increased 12%
  • Young & Co Says 1Q LFL Managed House Revenues Up 4.1%
  • Beer Drinkers in Thailand Power Singapore’s Best Stock in 2016
  • Financial News
  • London Banker Bonuses Set to Shrivel as Brexit Hits Dealmaking
  • Credit Suisse’s Naqvi Named Sole Markets Head for Asia Pacific
  • UBS Says Received Disclosure Order From Swiss Tax Administration
  • Credit Rating News
  • S&PGR Revises Cheung Kong Property Otlk To Pos; Afrms ’A-’ Rtg
  • Fitch Affirms Sino-Ocean Group at ’BBB-’; Outlook Stable
  • Fitch Affirms BNZ’s Mortgage Covered Bonds at ’AAA’/Stable
  • Other News
  • Brexit Hobbles Japan Inc. as Rising Yen Damps Profit Outlook
  • Brexit Crisis Seen Forcing Sweden to Keep Negative Rates Longer
  • Sensex Forward EPS Regains Year-Start Level Helped by IT, Auto
ANALYST VIEWS
  • The ECB reported that the first three weeks of the corporate bond purchase programme has seen it lift €6.8b of the market...a monthly run rate of around €9b... corporate bond risk that will not re-emerge: creditmarketdaily.com
NEW ISSUES
  • ASML Holding EU500m 6Y MS +75, EU1b 10Y MS +115
  • State of Berlin EU600m 0.25% 4/2025 Tap MS -7
  • BNG EU350m 1.375% 10/2030 Tap MS +5
  • Commerzbank EU750m 8Y Covered MS -4
  • Muenchener Hypo EU250m 0.5% 4/2026 Covered Tap MS -8
  • European IG credit pipeline here and HY credit pipeline here
  • Issuers exposed to S-T rollover and interest-rate reset risk here
  • NOTE: Simon Ballard is a credit strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice.
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Topics
Leveraged Finance

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UUID: 7947283

HALISTER1: AUCTION PREVIEW: RAGB Concession Seen; Short-Covering Bid Likely

AUCTION PREVIEW: RAGB Concession Seen; Short-Covering Bid Likely

(Bloomberg) -- Austria to sell 6.25% 07/2027, 0.75% 10/2026 for a combined EU1.1b at 11:15am CET. Analysts highlight the recent concession seen in both bonds, ongoing scarcity issues in Austrian debt, and specialness in repo, which suggests a short base and hence demand to cover positions.
  • Commerzbank (Michael Leister)
    • Expect good demand at auction as scarcity considerations are becoming increasingly relevant for Austria
    • 35% of 2y-31y RAGBs currently trading below depo rate, hence forcing central bank out the curve
    • Average maturity of PSPP purchases reached a record of 11.4Y in June, highest among semi-core
  • ING (Ben Schroeder)
    • The 6.75% 07/2027 is an old 30Y bond which has been trading as much as 8bps rich vs 10Y on-the-run 10/2026 - - this is in line with the “old vs new” bond dynamic seen in QE environment
    • The bond has since cheapened slightly, though still trades more than 2bps below the on-the-run in z-spreads
    • Repo indications show 07/2027 traded special yesterday, but less so than the 10/2026
  • Unicredit (Alessandro Giongo)
    • RAGBs looks cheap vs Germany, Netherlands in z-spread; in particular, 07/2027 has cheapened to 36bps vs Germany; also cheaper by 15bps vs DSL 01/2028, the highest level seen in a year)
    • 10Y looks attractive in Z-spread terms vs DSL 07/2026, at 11bps cheaper
  • Mizuho (Antoine Bouvet)
    • Semi-core spreads have been tightening strongly following surprise Brexit, showing hunt for yield has been supportive of markets such as Austria
    • 07/2027 has been notable underperformer on Austrian curve; 9s11s RAGBs steepened sharply vs OATs, bunds despite being historically the flattest
    • Bond was trading special on repo, hinting at a short base among dealers; expect 07/2027 auction to go well because of concession and potential short-covering demand
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Michael Leister (Commerzbank AG)
Alessandro Giongo (UniCredit SpA)
Antoine Bouvet (Mizuho Financial Group Inc)
Benjamin Schroeder (Commerzbank AG)

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UUID: 7947283

HALISTER1: European Finance Pre-Market: BNP, Barclays, Paragon, UniCredit

European Finance Pre-Market: BNP, Barclays, Paragon, UniCredit

(Bloomberg) -- The following news may affect European financials today: COMPANY NEWS
  • Life After Diamond: Barclays Closes Door on Years of Libor Pain
  • BNP Sees $630m After-Tax Gain From Visa Europe Disposal
  • EFG Creation of Added Authorized Capital of 15m Registered Shrs
  • Italy Considers Capital Package for Monte Paschi: La Stampa
  • Partners Group Buys Foncia Together With Group of Investors
  • UBS Says Received Disclosure Order From Swiss Tax Authorities
SECTOR NEWS
  • London Banker Bonuses Set to Shrivel as Brexit Hits Dealmaking
  • Debt Boom That Put JPMorgan on Top After 10 Years Gathers Pace
  • Pimco Favors Spain, Italy Bonds as ECB May Ease After Brexit
  • German Savings Banks Boost Capital, Dividends: Boersen- Zeitung
ANALYSTS
  • ABN, ING, Swedbank, Danske, UBS Preferred After Brexit: Barclays
  • Aldermore, Paragon Preferred Specialist Lenders Post Brexit: RBC
  • Close Brothers Raised to ’Sector Perform’ at RBC Capital
  • Legal & General Cut to ’Hold’ at Jefferies
  • Onesavings Bank Plc Cut to ’Sector Perform’ at RBC Capital
  • Prudential Cut to ’Underweight’ at JPMorgan
  • Shawbrook Group Plc Cut to ’Underperform’ at RBC Capital
  • Societe Generale Cut to ’Add’ at AlphaValue
  • UniCredit Raised to Buy vs Neutral at Goldman
BLOOMBERG INTELLIGENCE
  • Aviva Growth Strategy Aims to Boost Life’s New-Business Value
  • Direct Line Own Capital Model May Be More Capital Efficient
  • Legal & General Focuses on its Core U.K. and U.S. Businesses
PEOPLE
  • Credit Suisse Australia MD Matthew Tehan Said to Exit: AFR
  • Credit Suisse’s Ali Naqvi Named as APAC Head of Global Markets
  • Stefan Pendert Joins UBS Japan This Week as Co-Head of Research
  • Santander Corporate Bankers Take Up Redundancy Offer: Expansion
AGENDA
  • Nothing scheduled
  • Weekly agenda here
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Ali Naqvi (Credit Suisse Group AG)
Matthew Tehan (Credit Suisse Group AG)

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UUID: 7947283