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Elo/Auchan (ELOFR; NR, BB+ Stable); Guidance

CONSUMER STAPLES
  • 56bp NIC still on guidance (5.875%/+306 vs. FV 5.3%/+250)
  • One could take on longer 5Y CDS (Xover member) and still have >20bp negative basis.
  • Secondary is moving wider; €27/28/29's +13bps/-0.5pts. That still implies 50bps of spread roll down over the 9-months.
  • Figure below switched to Z-spread for clarity closer to pricing...refer above for OAS vs. comp's (not a issue for Elo curve/3-month par call) - Coty 28's only one impacted.

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