Yiying Luthra

Sep 27, 2023 | totalderivatives.com | Yiying Luthra

New structured notes Surface steepens; Directional Treasuries are back higher after initially seeing a further bear steepening, and swap rates are last anywhere from 6.8bps lower in the front end to 2bps higher in the back end. The implied vol surface is mostly lower on the day, with gamma underperforming (down around 0.25 to 2 normals in 3m expiries) versus vega (up 0.25 to 0.5 normals) as the surface has steepened. The left side is correcting some after outperforming yesterday.

Sep 27, 2023 | totalderivatives.com | Yiying Luthra

New issues Flip from bear to bull steepening; Crowded? USD impact Treasuries ended the session markedly higher, with the curve bull steepening from the earlier bear steepening and yields up to 7bps lower. The 10y note yield is last 4.583% or 2.5bps lower on the day while 2s10s ended 4.6bps steeper at -48.5bps (after testing -44bps intraday) and 5s30s 4.5bps higher at 8bps. Equities ended higher (DJIA +0.35%, S&P +0.59% and Nasdaq +0.83%).

Sep 26, 2023 | totalderivatives.com | Yiying Luthra

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Sep 26, 2023 | totalderivatives.com | Yiying Luthra

New structured notes Panicky; Implieds follow skew higher; Skew valuation talk After a quiet overnight, Treasury yields have powered to new highs, with the 10y note yield hitting 4.64% and is now last 4.616% or 6.6bps higher on the day, while the seemingly front to belly steepening has added another 6.7bps widening to 2s10s to -52.2bps while 5s30s is 2.5bps flatter to 4.3bps.

Sep 25, 2023 | totalderivatives.com | Yiying Luthra

Recent structured note activity CIBC ZC Formosa; BMO FRN Formosa; Putables In ZCs this week, CIBC sold a $30m 20y NC7 zero coupon callable Formosa. It is the first ZC Formosa since late May, according to records. Also in Formosas, Bank of Montreal sold a $100m 5y FRN Formosa, which is putable after 6 months. Indeed, putables have been more prominent of late, as several banks have recently launched notes with the feature, mostly Canadian names.