Monday, April 6, 2009

Daily Credit Market Summary: April 6 - Blunt Pain

Spreads were mixed in cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 US today with IG worse, HVOL improving, ExHVOL weaker, XO wider, and HY rallying. Indices typically underperformed single-names with skews widening in general as IG underperformed but narrowed cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 skew, HVOL outperformed but widened cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 skew, ExHVOL intrinsics beat and narrowed cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 skew, XO's skew increased as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 index outperformed, and HY's skew widened as it underperformed.

The names having cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 largest impact on IG are XL Capital Limited (-26.71bps) pushing IG 0.19bps tighter, and American International Group, Inc. (+155.69bps) adding 0.72bps to IG. HVOL is more sensitive with XL Capital Limited pushing it 0.93bps tighter, and American International Group, Inc. contributing 3.42bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Ingersoll-Rand Company (-17.5bps) pushing cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 index 0.19bps tighter, and National Rural Utilities Cooperative Finance Corporation (+44.87bps) adding 0.44bps to ExHVOL.

The price of investment grade credit fell 0.09% to around 96.16% of par, while cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 price of high yield credits rose 0.1925% to around 71.63% of par. ABX market prices are lower by 0.09% of par or in absolute terms, 0.29%. Broadly speaking, CMBX market prices are lower by 0.04% of par or in absolute terms, 0.13%. Volatility (VIX) is up 1.23pts to 40.93%, with 10Y TSY selling off (yield rising) 3.9bps to 2.93% and cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 2s10s curve steepened by 4.7bps, as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 cost of protection on US Treasuries fell 3bps to 47bps. 2Y swap spreads widened 2.8bps to 60.25bps, as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 TED Spread widened by 1.1bps to 0.97% and Libor-OIS deteriorated 0.1bps to 94.4bps.

The Dollar strengcá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365ned with DXY rising 0.48% to 84.571, Oil falling $1.16 to $51.35 (underperforming cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 dollar as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 value of Oil (rebased to cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 value of gold) rose by 0.4% today (a 1.73% drop in cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 relative (dollar adjusted) value of a barrel of oil), and Gold dropping $23.25 to $869.9 as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 S&P is down (832.4 -0.98%) underperforming IG credits (189bps -0.09%) while IG, which opened tighter at 183bps, underperforms HY credits. IG11 and XOver11 are +4.88bps and -3.5bps respectively while ITRX11 is -3.75bps to 162.5bps.

The majority of credit curves steepened as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 vol term structure flattened with VIX/VIXV rising implying a more bullish/less volatile short-term outlook (normally indicative of short-term spread compression expectations).

Dispersion rose +11.2bps in IG. Broad market dispersion is a little greater than historically expected given current spread levels, indicating more general discrimination among credits than on average over cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 past year, and dispersion decreasing more than expected today indicating a less systemic and more idiosyncratic narrowing of cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 distribution of spreads.

43% of IG credits are shifting by more than 3bps and 50% of cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 CDX universe are also shifting significantly (less than cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 5 day average of 60%). The number of names wider than cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 index decreased by 1 to 48 as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 day's range fell to 10.5bps (one-week average 9.9bps), between low bid at 182 and high offer at 192.5 and higher beta credits (0.11%) underperformed lower beta credits (-0.77%). In IG, wideners outpaced tighteners by around 1-to-1, with 39 credits wider. By sector, CONS saw 16% names wider, ENRGs 19% names wider, FINLs 38% names wider, INDUs 46% names wider, and TMTs 39% names wider. Focusing on non-financials, Europe (ITRX Main exFINLS) outperformed US (IG12 exFINLs) with cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 former trading at 163.06bps and cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 latter at 183.71bps.

Cross Market, we are seeing cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 HY-XOver spread compressing to 627.54bps from 633.87bps, but remains below cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 short-term average of 697.53bps, with cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 HY/XOver ratio falling to 1.69x, below its 5-day mean of 1.75x. The IG-Main spread decompressed to 26.5bps from 20.38bps, and remains above cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 short-term average of 24.17bps, with cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 IG/Main ratio rising to 1.16x, above its 5-day mean of 1.14x.

In cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 US, non-financials outperformed financials as IG11 ExFINLs are tighter by 0.6bps to 183.7bps, with 58 of cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 104 names tighter. while among US Financials, cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 CDR Counterparty Risk Index fell 4.7bps to 248.5bps, with Banks (worst) wider by 2bps to 345.93bps, Brokers (best) tighter by 3.19bps to 318.26bps, and Finance names wider by 1.04bps to 1110.12bps. Monolines are trading tighter on average by -137.27bps (4.09%) to 2446.36bps.

In IG12, FINLs underperformed non-FINLs (1.39% wider to 0.35% tighter respectively), with cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 former (IG11 FINLs) wider by 7.4bps to 542.5bps, with 9 of cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 21 names tighter. The IG CDS market (as per CDX) is 10.5bps rich (we'd expect LQD to outperform TLH) to cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 LQD-TLH-implied valuation of investment grade credit (199.45bps), with cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 bond ETFs outperforming cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 IG CDS market by around 3.16bps.

In Europe, ITRX Main ex-FINLs (underperforming FINLs) rallied 3bps to 163.06bps (with ITRX FINLs -trending tighter- better by 6.75 to 160.25bps) and is currently trading tight to its week's range at 0%, between 177 to 163.06bps, and is trending tighter. Main LoVOL (sideways trading) is currently trading in cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 middle of cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 week's range at 45.97%, between 113.29 to 103.11bps. ExHVOL underperformed LoVOL as cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 differential decompressed to -3.74bps from -8.71bps, but remains below cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 short-term average of 1.8bps. The Main exFINLS to IG ExHVOL differential compressed to 59.01bps from 65.76bps, and remains below cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365 short-term average of 59.59bps.

commentary compliments of http://www.creditresearch.com/

Index/Intrinsics Changes:

CDR LQD 50 NAIG091 -2.23bps to 279.48 (14 wider - 31 tighter <> 28 steeper - 22 flatter).

CDX12 IG +2.37bps to 189 ($-0.09 to $96.16) (FV +0.07bps to 238.11) (35 wider - 68 tighter <> 69 steeper - 56 flatter) - Trend Tighter.

CDX12 HVOL -2bps to 458 (FV +4.15bps to 645.28) (14 wider - 11 tighter <> 13 steeper - 17 flatter) - Trend Tighter.

CDX12 ExHVOL +3.75bps to 104.05 (FV -1.01bps to 130.22) (21 wider - 74 tighter <> 38 steeper - 57 flatter).

CDX11 XO 0bps to 544.6 (FV +6.86bps to 569.21) (19 wider - 13 tighter <> 11 steeper - 23 flatter) - Trend Tighter.

CDX11 HY (30% recovery) Px $+0.19 to $71.63 / -9.8bps to 1542.3 (FV -15.45bps to 1278.35) (53 wider - 37 tighter <> 33 steeper - 66 flatter) - Trend Tighter.

LCDX10 (55% recovery) Px $-0.1 to $74.65 / +7.72bps to 1479.39 - Trend Tighter.

MCDX11 -2bps to 220bps. - Trend Tighter.

CDR Counterparty Risk Index fell 4.52bps (-1.79%) to 248.69bps (2 wider - 13 tighter).

DXY strengcá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365ned 0.48% to 84.57.

Oil fell $1.18 to $51.33.

Gold fell $23.25 to $869.9.

VIX increased 1.23pts to 40.93%.

10Y US Treasury yields rose 3.9bps to 2.93%.

S&P500 Futures lost 0.98% to 832.4. Sphere: Related Content
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3 comments:

Anonymous said...

Did you check your data? Your gold price is way off.

Anonymous said...

We are using GOLDS Index from Bloomberg - that is what cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365y have for today...is cá cược thể thao bet365_cách nạp tiền vào bet365_ đăng ký bet365re a better tracker to follow...?

Anonymous said...

Seems BBG changed its syntax - using px_last...changing now!!! Thanks