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This paper shows how to use options to measure forward-looking market uncertainty in European government bond futures.
Authors: Jaroslav Baran (ESM) and Jan Voříšek (independent researcher)
Abstract:
1st July - 2nd July 2020
The ESM, jointly with EIB’s Capital Markets Department, is organising a seminar in Luxembourg. Given the uncertainty surrounding travel restrictions, we have decided to hold the seminar virtually, via a WebEx webinar. The first day will be dedicated exclusively to Central Bank reserve managers, whereas the second day will be enlarged to the wider investor base in EIB and ESM bonds.
The European Stability Mechanism completed its second quarter funding needs on Monday, raising the full €1.5 billion it had targeted.
The ESM reopened its 0.75% 5 September 2028 bond with the no-grow tap offer, which means the bond’s total outstanding volume is now €4.75 billion. The spread was fixed at mid-swaps plus 4 basis points, for a reoffer yield of -0.147%. The final order book was €6.8 billion, excluding joint lead manager interest.
The joint lead managers were BNP Paribas, Citi and Natixis.
Published in Ansa, DPA, EFE, ANP, AFP
Interview conducted on 11 May 2020
Interviewers: Chiara de Felice, Ansa (Italy), Verena Schmitt-Roschmann, DPA (Germany), Laura Pérez-Cejuela, EFE (Spain), Petra Janbroers, ANP (Netherlands) and Clement Zampa, AFP (France)
Original language: English
(Luxembourg) - The European Stability Mechanism completed its second quarter funding needs on Monday, raising the full €1.5 billion it had targeted.
The ESM reopened its 0.75% 5 September 2028 bond with the no-grow tap offer, which means the bond’s total outstanding volume is now €4.75 billion. The spread was fixed at mid-swaps plus 4 basis points, for a reoffer yield of -0.147%. The final order book was €6.8 billion, excluding joint lead manager interest.
The joint lead managers were BNP Paribas, Citi and Natixis.