April 24, 2024 09:19 GMT
Enel (Baa1/BBB): SLB Step Event
UTILITIES
• Enel yesterday missed its CO2/kWh KPI triggering 25bp step ups on some of its outstanding SLBs.
• Although widely expected spreads on affected bonds (labelled on the chart) have outperformed by 10-20bp with the step only partially priced in previously. Spreads have moved both yesterday and today.
• Stepped bonds now sit slightly wide to the curve, with step optionality remaining on the other SLBs for future test dates.
• This is an interesting test case for the SLB market with few step triggers so far. Some had wondered whether increased coupons could compensate for ESG negatives and on this evidence the answer is yes.
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