This page has been archived and commenting is disabled.
Daily Credit Summary: April 20 - Charge!
Courtesy of www.creditresearch.com
Spreads tightened in general today with HY outperforming IG as both the major US indices gapped tighter and never made it back to yesterday's tightest levels as the late day charge in risk appetite continued into today. Breadth was largely positive with single-names catching up to yesterday's late day strength.
After IBM's disappointment last night, markets hardly missed a step with the S&P filling the gap from pre-GS Friday stress (although GS lost ground today and closed near the lows from the last few days) but IG credit remains 3-4bps wider than the pre-GS stress. HY, in its higher beta way, did make it back close to the pre-GS stress levels. A lack of crash on Monday seemed to signal the all-clear for risk and the reach-for-yield resumed, somewhat confirmed by significant compression in HY-LCDX today (against a recent trend). IG continues to range-trade with far less beta to stocks than HY.
Some of the best performers among the CDO-related names today included the mortgage insurers MGIC, RDN, and PMI (along with monolines MBIA, ABK, and Assured Guaranty) as MGIC announces plans to sell shares/converts (obviously causing shares to fall/credit to rally) which appears largely responsible for the major off-the-run compression in index-land today.
In IG14 we saw 3s5s flattening in the index and intrinsics and in all sectors with 5s10s steepening in all but ENRG sector. Flatteners in IG outpaced steepeners by 2-to-1 as 5Y breadth was dramatically positive today.
Some interesting equity-credit moves today include equity and credit deteriorating together in MCCC (following loan refinancing chatter), equity and credit improving together in BZH, THC, SPF, BLC, CYH, IPG, STZ, and OMC, and divergences (equity better than credit) in CAM, UHS, WFT, NE, and BC (most appearing on our LBO candidate screens) and credit better than equity in POM (Calpine deal), JCP, SVU, and IBM (though marginally tighter in credit driven more by systemic index compression today).
Index/Intrinsics Changes
CDR LQD 50 NAIG -1.54bps to 77.79 (3 wider - 40 tighter <> 21 steeper - 27 flatter).
CDX14 IG -3bps to 85.75 ($0.14 to $100.63) (FV -1.94bps to 88.35) (4 wider - 107 tighter <> 78 steeper - 42 flatter) - Trend Wider.
CDX14 HVOL -4bps to 131 (FV -3.05bps to 0) (1 wider - 27 tighter <> 25 steeper - 4 flatter) - No Trend.
CDX14 ExHVOL -2.68bps to 71.46 (FV -1.59bps to 75.61) (3 wider - 92 tighter <> 42 steeper - 53 flatter).
CDX14 HY (30% recovery) Px $+0.63 to $100.88 / -15.8bps to 477.8 (FV -15.04bps to 459.67) (7 wider - 91 tighter <> 70 steeper - 29 flatter) - Trend Wider.
LCDX14 (70% recovery) Px $-0.25 to $100.13 / +6.48bps to 246.67 - No Trend.
MCDX14 -7.25bps to 115bps. - No Trend.
ITRX13 Main -3.62bps to 80.63bps (FV--1.75bps to 81.29bps).
ITRX13 XOver -20bps to 409bps (FV--8.27bps to 404.23bps).
ITRX13 FINLs -3.19bps to 97.81bps (FV--2.77bps to 99.51bps).
CDR Counterparty Risk Index fell 1.85bps (-1.73%) to 105.04bps (4 wider - 10 tighter).
CDR Government Risk Index fell 3.04bps (-3.83%) to 76.32bps..
DXY strengthened 0.09% to 81.07.
Oil rose $2 to $83.45.
Gold rose $3.95 to $1139.7.
VIX fell 1.61pts to 15.73%.
10Y US Treasury yields rose 0.2bps to 3.8%.
S&P500 Futures gained 1% to 1207.5.
Single-Name Movers
Today's biggest absolute movers in IG were Universal Health Services Inc (+2.75bps), Kinder Morgan Energy Partners LP (+2.5bps), and TJX Companies, Inc./The (+0.75bps) in the wideners, and GATX Corporation (-9.5bps), American International Group, Inc. (-8bps), and Vornado Realty LP (-7.25bps) in the tighteners. Today's biggest percentage movers in IG were Kinder Morgan Energy Partners LP (+2.13%), Universal Health Services Inc (+1.65%), and TJX Companies, Inc./The (+1.36%) in the wideners, and United Parcel Service Inc. (-9.64%), Ingersoll-Rand Company (-7.77%), and Vornado Realty LP (-6.76%) in the tighteners.
In the more financial-heavy CDR NAIG LQD 50 index, sentiment is very bullish with 3 wider to 40 tighter, and 21 steeper to 27 flatter as 0 of the 50 credits have inverted curves. The biggest absolute movers were Bank of America Corp. (+3bps), JP Morgan Chase & Co. (+0.75bps), and TJX Companies, Inc./The (+0.5bps) in the wideners, and GATX Corporation (-9.5bps), Goldman Sachs Group Inc (-6bps), and Capital One Financial Corp. (-5.5bps) in the tighteners. The biggest percentage movers in the CDR NAIG LQD 50 were Bank of America Corp. (+2.45%), JP Morgan Chase & Co. (+1.06%), and TJX Companies, Inc./The (+0.9%) in the wideners, and GATX Corporation (-5.62%), Union Pacific Corp. (-5.5%), and Cisco Systems Inc. (-5.22%) in the tighteners.
In Main, the biggest percentage movers were BP PLC (+1.78%), United Utilities Plc (+1.38%), and Energie Baden-Wuerttemberg AG (+0.89%) in the wideners, and Cadbury Holdings Limited (-8.62%), Repsol YPF SA (-5.9%), and Royal Bank of Scotland Group Plc (-5.85%) in the tighteners.The largest absolute movers in Main were United Utilities Plc (+1bps), BP PLC (+0.75bps), and Energie Baden-Wuerttemberg AG (+0.5bps) in the wideners, and Royal Bank of Scotland Group Plc (-8.63bps), Repsol YPF SA (-7.75bps), and ArcelorMittal (-7.25bps) in the tighteners.
The biggest percentage movers in XOver were Nordic Telephone Company Holding ApS (+4.61%), Cable & Wireless Plc (+3.97%), and Havas SA (+2.5%) in the wideners, and Fiat SpA (-14.06%), BCM Ireland Finance Ltd (-6.07%), and Fresenius SE (-5.24%) in the tighteners.The largest absolute movers in XOver were Cable & Wireless Plc (+11.65bps), DSG International plc (+10bps), and Virgin Media Finance PLC (+7.5bps) in the wideners, and BCM Ireland Finance Ltd (-71.14bps), Seat Pagine Gialle SpA (-66.57bps), and Fiat SpA (-45bps) in the tighteners.
In the names of the HY index, today's biggest percentage movers were Mirant North America LLC (+2.62%), International Lease Finance Corp. (+1.32%), and DISH DBS Corporation (+1.16%) in the wideners, and Radian Group Inc (-20.92%), Standard-Pacific Corp (-14.29%), and Limited Brands, Inc. (-8.22%) in the tighteners. The largest absolute movers in HY were Mirant North America LLC (+6bps), International Lease Finance Corp. (+5bps), and DISH DBS Corporation (+3bps) in the wideners, and Radian Group Inc (-181.29bps), Dynegy Holdings Inc. (-86.02bps), and Boyd Gaming Corporation (-73.15bps) in the tighteners.
The CDR Counterparty Risk Index Series 2 (of brokers and banks) fell -1.85bps (or -1.73%) to 105.04bps. Merrill Lynch & Co., Inc. (3.25bps) is the worst (absolute) performer among the banks/brokers of the CDR Counterparty Index, whilst Bank of America Corp. (2.45%) is the worst (relative) performer. Royal Bank of Scotland Group Plc (-8.63bps) is the best (absolute) performer among the banks/brokers of the CDR Counterparty Index, and Royal Bank of Scotland Group Plc (-5.85%) is the best (relative) performer.
The CDR Aussie Index fell -0.84bps (or -1.2%) to 69.47bps. Qantas Airways Ltd (1bps) is the worst (absolute) performer, whilst CSR Limited (1.52%) is the worst (relative) performer. National Australia Bank (-2.81bps) is the best (absolute) performer, and BHP Billiton Ltd (-4.35%) is the best (relative) performer.
The CDR Asian Index fell -0.07bps (or -0.08%) to 82.35bps. LG Electronics Inc (4.69bps) is the worst (absolute) performer, whilst Toyota Motor Corporation (6.26%) is the worst (relative) performer. Kobe Steel Ltd (-4.64bps) is the best (absolute) performer, and Kobe Steel Ltd (-5.17%) is the best (relative) performer.
»
- 2103 reads
- Printer-friendly version
- Send to friend
- advertisements -
Bull case for risk credit:
All that matters is that corporate profitability is doing better than expected via cost cutting and reduced cap-ex; companies are weathering the storm well. On top of that, they have pushed out debt maturities and only the worst basket-cases could possibly default in the next year or two. Clip those fat coupons!
Bear case for risk credit:
The world's central banks and our Chinese credit drug dealers have primed the system with trillions of $$$ and all we have to show for it is a rally in all financial asset classes. The average consumer in the U.S. is living a slow nightmare and the E.U. is hopelessly screwed up. The EMG's have had a run but without self-sustaining internal consumption demand the laws of sharp cycles have not been repealed. In summary, the mad rush into risk credit will prove as stupid as it always has.
The Bulls are currently ruling the day...tick, tock, tick, tock...
S+P and dow futures are green tonight, Thats the first time I have seen that in a long time.
EURO continues to get a lot of support ...
But USD index chart continues to give bullish warnings.
Euro chart:
http://www.zerohedge.com/forum/latest-market-outlook-0