Tag Archives: CDS
Indexing Bond and Commodity Markets in the World of the Upside Down
In the 80s nostalgia Netflix hit series “Stranger Things,” the town of Hawkins is haunted by an alternate world beneath. The protagonists battle monsters in what they call the upside down. For the first few seasons, the upside down wreaks havoc on just a few residents of Hawkins. By the last season, no one is…
- Categories Commodities, Fixed Income
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Two ugly views of the energy debt markets
The impact of low energy prices is rippling through the debt markets for bonds issued by energy related companies. The S&P 500 Bond Index has returned a modestly negative total return of -0.31% year-to-date while the energy bond sector tracked in the S&P 500 Energy Corporate Bond Index is down 5.79% year-to-date. Table 1: Select Sector Indices from…
- Categories Fixed Income
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- Fixed Income
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U.S. Debt Markets/CDS reaction to Argentina Credit Default
On Wednesday, July 30th, S&P cut the credit rating on Argentina’s foreign currency bonds to “selective default” after they failed to reach a deal with holdout bondholders from their last default in 2001. US Treasuries initially sold off only to recover, investment grade corporate bond markets had a somewhat muted reaction, while high yield and…
- Categories Fixed Income
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- Fixed Income
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Will the S&P/Case-Shiller Reverse The Trend Or Are Spreads The True Indicator?
Today’s Pending Home Sales for June month-over-month came in lower than the expected 0.5% at a -1.1%. The prior May number was a 6.1% later revised to a 6.0%. Tomorrow the S&P/Case-Shiller 20-City Composite Home Price Index is due for release at 9am. Heading into the release, the spread of the S&P/ISDA CDS U.S. Homebuilders…
- Categories Fixed Income
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After May Showers, CDS Markets Are Feeling Sunny About Summer
Over the course of a month when Mother Nature could not decide which season it was in New York City, credit market swap (CDS) market participants as a whole decided credit default insurance was too high. CDS benchmark indices like the S&P/ISDA U.S. 150 Credit Spread Index tightened 4.9%. Every sector spread that compiles the…
- Categories Fixed Income
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- Fixed Income
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Equity and Credit Markets in Sync?
The companies in the S&P 500 that borrow the most money are enjoying the benefit of a positive credit market. The cost of buying default protection on the largest bond market borrowers in the S&P 500 is tracked by the S&P/ISDA U.S. 150 Credit Spread Index and has fallen to lows which can be an…
- Categories Fixed Income, Uncategorized
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- Fixed Income, Uncategorized
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Equity Auguries?
The market for credit default swaps is typically not well-understood by equity investors (myself emphatically included). This is unfortunate, since the price of insuring a company’s bonds (which is what a CDS measures) can sometimes provide insight into the same company’s equity securities. For example, in September 2012, the S&P 500 financials sector began to…
- Categories Equities, Fixed Income, Strategy
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- Equities, Fixed Income, Strategy
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