Those of us who stayed up to watch the Brexit television coverage knew that in a few hours’ time the June 24 trading session would go down in history. The mainstream media were inevitably obsessing about the post-Brexit collapse in sterling, but the credit markets were focused on the Markit iTraxx indices. Big moves were…

The campaign for the UK to leave the European Union has lost momentum with in the lead-up to Thursday’s vote, and the credit market has been re-pricing to reflect these developments. The UK’s five year CDS spreads, which had touched yearly wides off the back of the surging “leave” sentiment last week, have been the…

Falling government bond yields across Europe have meant investors have been rewarded with impressive returns so far this year. One country however, continues to lag. Portugal has seen its credit risk hover at elevated levels and its government bonds have produced negative returns this year. Credit investors have been treating Portugal with increasing scepticism since…

Tumbling volatility over the past months has seen US and European corporate credit risk converge, despite credit investors bracing themselves for diverging monetary policies. In a speech yesterday, Fed chair Janet Yellen remained positive about an interest rate hike in the coming months, while tomorrow marks the start of the ECB’s corporate bond buying programme….

Brexit fears jolt sterling bond liquidity As the UK’s EU referendum approaches, associated uncertainty has seen risk in the sterling corporate bond market rise, with liquidity taking a blow. Sterling corporate bonds have seen credit spreads underperform euro peers so far this year Sterling corporate bond liquidity deteriorated in March, at the height of Brexit…

Securitised peer-to-peer loans see risk escalate Recent troubles at Lending Club have only compounded risk in the peer-to-peer credit market P2P backed loans were introduced in 2014 and saw spreads fall to lows in mid-2015 Average spread on senior P2P loan backed securities has widened 76% since last October Markit Liquidity score among P2P securities…

European hybrid bonds continue to underperform Idiosyncratic risk in the European corporate hybrid bond sector has seen new issuance stall and credit spreads rise. European Hybrid bonds have underperformed their senior counterparts over the last year Idiosyncratic risk has been key driver, with Volkswagen and Total seeing spreads widen Markit iBoxx EUR Liquid High Yield…

iTraxx net notional spikes post-ECB QE decision The prospect of the ECB buying up corporate bonds, potentially squeezing supply in the sector, has meant investors have looked for alternative ways to take on risk exposure. Markit iTraxx Europe Main index has seen its 5-yr CDS spread tighten to 77bps, from 91bps Net notional outstanding on…

April saw a continued positive shift in the difference between credit default swap (CDS) spreads and cash spread equivalent, known as the CDS-bond basis, among US dollar denominated corporate bonds. Calmer global markets and stronger oil and commodity prices encouraged continued recovery in battered bond prices in the oil & gas sector, with EQT Corp…

Japanese bonds rise despite BOJ disappointment Japanese sovereign bonds managed to deliver positive returns today, while almost every other asset class suffered from the Bank of Japan’s decision to reject further loosening of monetary policy. Japanese government bonds tightened by 3 bps today but corporate bonds saw risk surge Corporate bond CDS spreads jumped by…