We’ve had eight business days of trading since the index roll on March 20, a date that will be remembered in the CDS world for the introduction of the new senior non-preferred tier (SNRLAC). Perhaps it is too early to give a definitive assessment of how the tier is performing relative to the rest of…

The year 2018 marks the 10th anniversary of the collapse of Bear Stearns and Lehman Brothers and still the task of tackling “Too Big To Fail” is far from complete. On the contrary, regulation aimed at preventing taxpayer-funded bailouts is yet to be fully implemented – a fact that may come as a surprise to…

Italy election – markets are sanguine We noted at the end of last year that the coming 12 months would probably be low on political risk, at least in comparison to the election-packed 2017. The one highlight in Europe would be Italy’s general election, unless talks on a Brexit transition unravel spectacularly…. Subscribe to Read

iTraxx skew widens amid volatility Rates and equity markets are now embroiled in a tussle that has upset the pervasive complacency evident at the beginning of the year. Has this affected the credit markets? Naturally. The primary credit indices experienced considerable volatility; perhaps not as newsworthy as the VIX, but notable nonetheless…. Subscribe to Read

Eurozone periphery CDS rallies It’s that time of year again when plutocrats and power brokers meet in Davos for the World Economic Forum. In recent years this congregation of the great and the good has had to fend off accusations of being out of touch with ordinary people, perhaps not without reason…. Subscribe to Read

Italian bank CDS amid senior non-preferred issuance In our last article of 2017 we noted that it was widely billed as the year of political risk. Perhaps those in the fixed income world will call 2018 the year of TLAC (Total Loss Absorbing Capacity). It doesn’t have quite the same resonance, but there is little…

Italy CDS – watch the ISDA basis This year was widely touted by many – including yours truly – as the year of political risk. As we now know it didn’t turn out that way. Emmanuel Macron fought off the challenge of the National Front, Mark Rutte was re-elected as Dutch Prime Minister and Italy…

iTraxx Crossover underperforming? Here in the UK there is no end of doom and gloom about Brexit and the state of the economy. One could be forgiven for approaching the end of 2017 in a bleak mood. But the European investment grade market appears immune to this despondency; indeed, we are going into year-end in…

Venezuela – are we close to default? Waiting for a default on Venezuela’s bonds has been like waiting for Godot. Low oil prices and macroeconomic mismanagement has led to a catastrophic collapse in economic activity – our colleagues in country risk are forecasting a 7.5% GDP contraction. Civil unrest is on the rise,… Subscribe to

Wind CDS orphaned? We noted last month that orphaned CDS seemed to be on the rise, with both EDP in Portugal and Italy’s Wind possibly losing their relationships with deliverable obligations. The picture was clear with EDP – bonds will be issued out of EDP Finance BV and this was reflected in the entity’s inclusion…