Credit Market Daily #64 %author %

22-December-2022

Good Morning!

This is the last CMD before Christmas we will be back on the 28th with a summary of asset class performance, headlines and interest.

We are aiming to hit the new year running with additional content.

We have some good community written notes on Stonegate, Daily Mail, Bruntwood and Saga.

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Quickly on markets – yesterday saw markets bounce back strongly, and as such, I think we remain range bound into the new year. My target of 500bps on Xover for a new resistance level in January remains.

Friday’s PCE deflator is the biggest eco reading for the week and will be scrutinised in the context of the FED’s reaction function.

The finalised UK GDP Q3 reading came in weaker than expected at -0.3% QoQ vs, -0.2% expected. A recession is the base case for the next 12-18 months in the UK this won’t really move the dial for the BoE. See CMD 61 for a summary of the MPC and various BoE surveys.

We will update you on the relative value across credit next Wed along with our weekly summary of performance, but cash bonds have really moved that much compared to equity or CDS.

All that remains is to wish you and yours a peaceful, happy, and very merry Christmas.

See you next week

Credit

High Yield

GBP, EUR and USD spread moves were +3 bps (689 bps), -1 bps (510 bps) and -10 bps (466 bps) respectively.

Xover was -28bps tighter vs. yesterday, and is opening a further -4bps at 473.

See the table below for High Yield’s total return performance.

Leaders and Laggers

Investment Grade

GBP, EUR and USD spread moves were -0.5 bps (195.5 bps), +0 bps (173 bps) and -2 bps (134 bps) respectively

Itraxx Main was -4bps tighter on the day and is opening a further -1bp tighter this morning at 93bps.

See the table below for Investment Grade’s total return performance.

Rates

10-year Gilts, Bunds and Treasuries yield 354 bps, 227 bps and 362 bps respectively.

Equities

Strong performance across the board yesterday, futures point to a further c.20 to 40bps performance today.

See the table below for the performance summary.

Today’s Events

Eco Data

To come: US GDP, Initial Jobless Claims and the Leading Index

Today’s Reporting

Energo-Pro

Fedrigoni

Hornbach

Scientific Games

Credit Market Daily #64