Markit Recap – 4/16/2018

iTraxx Europe – options can influence volumes Fundamental factors rightly garner the most attention when investors try to ascertain why markets move. Even if one regards markets as perfectly efficient and favour index tracking, it would be foolhardy to completely ignore real world influences when managing money. But the credit markets, in particular, warrant analysis

Markit Recap – 4/9/2018

Risky assets are often beholden to perceptions of geopolitical risk, though in recent times it has been a minor factor. Perhaps that is about to change. The conflict in Syria has taken a terrible twist that threatens to draw the major western powers into a conflict with Russia, with concomitant negative effects on credit markets.

Markit Recap – 3/26/2018

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

Markit Recap – 3/12/2018

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

Markit Recap – 2/26/2018

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....

Markit Recap – 2/12/2018

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....

Markit Recap – 1/22/2018

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....

Markit Recap – 1/8/2018

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

Markit Recap – 12/11/2017

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

Markit Recap – 11/27/2017

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