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Enron Mail |
COMMENTS
EUR SWAPS Pretty subdued mkt yest after last week's volatile session. Better receiving in 5yr sector took swap spreads narrower by 1.5bps & brought 10yr and 30yrs in heading for 1bps too. With the 5yr sector underperforming again on the curve yest in both swaps and cash, 2-5's steepened 1.5bps, 5-10's flattened 1bps & the 2-5-10's fly retracted up to 8bps again. The only major swap flow was 400mln 7yrs on an o'right basis, Japanese payer and looked to be related to an option structure. Cedulas Cajas 2.5bn 7yr due to be priced today, do expect to be swapped, although how much will be bought on asset swap so offsetting that flow. This morning, broadly quiet, 2yr and 5yr outperforming led by futures, swap spreads uo to 0.75bps wider in both & 10yr unch so far. GOVT ISSUANCE Date Day Issue Size 22-Nov-01 Thursday France 5-Year BTAN 3.50 Expected Reverse Auction 2.00 Maximum 27-Nov-01 Tuesday Greece 10-Year GGB 1.50 Expected 29-Nov-01 Thursday Italy 3-Year BTP 1.00 Expected 10-Year BTP 2.00 Expected 05-Dec-01 Wednesday Spain 5-Year Bono 1.00 Expected 15-Year Bono 0.50 Expected 06-Dec-01 Thursday France 10-Year OAT 2.00 Expected 15/30-Year OAT 0.75 Expected 07-Dec-01 Friday Spain 10-Year Bono 1.00 Expected Over the past week, government issuance has totalled about Eur14.8bn; it has been concentrated in the five-year sector (about Eur11bn), with the reopening of the Bobl138 and a large five-year reopening in Italy. This week, supply will be lighter, with only the launch of the new five-year BTAN 3.75% Jan 2007 in France (Eur3.5bn expected). On top of this, France will proceed to another round of buy-backs: in the reverse auction, the OATs 4% April 2009, 4% of October 2009, and 5.5% April 2010 will be bought back for a maximum total amount of Eur2bn. The following week, auctions are scheduled in Greece and Italy (Eur4.5bn expected). LEVELS (close to close, ex basis) SWAP CURVE GBP/EUR(EUR convention) today t-1 5y5y -22 -24 15y15y -147 -148 10/30? -39.0 -40.0 10/30E +45.5 +45.1 EUR SWAP SPREADS 5y: Bobl 138 25.6 1.6 narrower 10y: Jan 11 bund 33.8 0.8 narrower 30y: Jan 31 bund 22.2 0.9 narrower GBP SWAP SPREADS 5y: 8h Dec 05 54.0 unchd 10y: 9 Sep 11 48.0 1.0 narrower 30y: 6 Dec 28 34.0 3.0 narrower EUR SWAP VOLATILITY 3m into 10yr 14.3 0.5 higher 1y into 10yr 12.9 0.4 higher 2y into 10y 12.4 0.1 higher 5y into 5y 12.2 0.1 higher 5y into 25y 10.3 0.1 higher 10y into 20y 9.7 0.2 higher 5y5y swaption/5x10 cap spread 2.5 This material is for your private information, and we are not soliciting any action based upon it. This report is not to be construed as an offer to sell or the solicitation of an offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. Certain transactions, including those involving futures, options, and high yield securities, give rise to substantial risk and are not suitable for all investors. The material is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. Opinions expressed are our current opinions as of the date appearing on this material only. While we endeavor to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. We and our affiliates, officers, directors, and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities, or derivatives (including options) thereof, of companies mentioned herein. No part of this material may be (i) copied, photocopied or duplicated in any form by any means or (ii) redistributed without Goldman, Sachs & Co.'s prior written consent.
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