European Morning Credit: Today in European Credit

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European Morning Credit: Today in European Credit

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European Morning Credit

Today in European Credit

Strategy 01 July 2026

Credit Derivatives Navigator: While IG implieds screen low in both the US and Credit

Europe, CDX HY stands out as offering a larger vol risk premium. Private credit Europe

headwinds could result in higher interest in the newly launched CDX Financials index, European Credit Rsch Grp

from the short side. Elevated daily trading ranges justify to own vol selectively in CDX IG BofASE (France)

space. See: Carry now, convexity next. (IA) See Team Page for List of Analysts

Financials

UK Banks: The FT is reporting this morning on the debate in the UK re: levies on the

banking sector. According to the report, the General Secretary of the Trades Union Exhibit 1: Just published

Congress sees the potential to raise £9bn over four years simply ‘by reversing the Recent publications from European Credit

previous Conservative government’s cut to the so-called bank surcharge’. A more radical Research

move to impose 35% surcharge could raise £60bn over four years. This would match the

Credit Derivatives Navigator

previous windfall tax on energy companies. The UK bank levy is so frequently discussed Carry now, convexity next

that, in our view, it must be baked into the market’s assessment of the UK banks by now. Ioannis Angelakis

We would therefore expect a very muted reaction to any announcement of a levy,

especially at the lower end of the above range. (RT) Nykredit

Revisiting value after active 1H in primary

Nykredit (NYKRE): Active 1H26 in primary (€2.8bn benchmark-size). We stay Katharine Lennon

constructive, but some spread premium vs Danish peers is fair. OWs longer-end SNP

(€3.75 '33s, €3.5 '33s), Mostly MW/UW elsewhere. Like T2 35s (OW).