Ares
14th April 2010, 07:03 PM
Courtesy of www.creditresearch.com
Spreads were broadly tighter today with HY outperforming IG as equities got a boost from retail sales, Bernanke's low-and-long comments, and Beige book headlines. JPM's earnings (along with CSX's beat and INTC's smash) also helped as financials outperformed in equity and credit. The psychological break of several critical levels in equity and credit indices seems relevant for the moment (despite the survivorship bias inherent in these long-run indices reducing the real worth) but there was no arguing with the breadth today as tighteners outpaced wideners by over 8-to-1.
Overnight strength in futures saw the best print in Europe around its open as the threat of Greece defaulting remains on many people's minds (as we have repeatedly discussed) and we note GGBs now trade above 7% from three years out and are inverted as CDS spikes back to recent wides, dragging SovX (and financials) with it. The implicit fear of a Greek default (or ongoing stress) has systemically impacted the rest of the PIIGS (back above 200bps average) once again with Portugal and Spain worst hit (and their financials really suffering). We have previously commented on the high level of interconnectedness in European sovereigns and financials and how Spain sits atop a lot of these relationships. Maybe it is just a coincidence but the massive rise in the IMF's SDR facility this week along with this spike in GGBs and the rest of the PIIGS, perhaps presumes Greece actually preferring to default its troubles away, an ECB that is freaking out over the level of contagion, and a market that is pricing in systemic risk to the FINLs (which underperformed US FINLs very handiuly today).
European FINLs credit pretty much leaked wider all day (closing near the wides) as Greece weakness spread but it did not impact XOver so much with Main dragged wider by FINLs and compressing the XOver-Main relationship (most of the indices closed near their wides of the day). In the US, demand for riskier debt seemed high today with HY outperforming IG, and high beta outperforming low beta. However, IG and HY was a one-way street today following the stock market with HY breaking above $101 for the first time in HY14 after both opened modestly wider from last night's close.
Jamie Dimon's understandable resistance to writedowns and comments that recovery/lending is picking up seem somewhat disingenuous compared to Beige Book, senior lending officer surveys, HAMP, MBA mortgage apps, and so on. The fact that JPM's loan loss provisions dropped was amazing to us but with no FAS157, who knows. Nevertheless, it was a big enough beat (thanks again to FICC revs) to warrant a broad based buying of financials in equity and credit. Notably we saw 3s5s flattening continue and even in the best names (like JPM) the 5s10s curve is pretty much flat (some inverted) as it appears equity market investors are tending to discount the next quarter only, whereas credit investors are looking a few years out and seeing slightly less utopian environs. With ZIRP, a seemingly self-sustaining supply keeping the curve steep, and no FAS157, stocks seem to discounting the unbreakability of the banks with perhaps a shade more cyclical concern being priced via credit (we suspect mainly due to TLGP maturities and election cycles).
The retail sales beat (which appeared largely driven by autos which inherently needed their own large amount of subsidized credit) was fascinatingly divergent from everything else we see. Food stamps reach record numbers near 40mm people, delinquencies rising and joblessness high would warrant expectations of a more cautious consumer but the numbers don't lie, right. One common theme we are asked about recently, which a few more mainstream economists have been discussing recently, is the rise in strategic defaults (or more clearly strategic non-payment of mortgages) which leads to a large freeing up of income. Combine that with the higher rates of growth in mortgage delinquency over credit card and one begins to wonder. While HAMP seems to make more headlines than it warrants in its success, we assume that at some point all these non-payers-for-shelter will either start paying a smaller mortgage nut or rent and perhaps that the reality of that delevered consumer will come into play. For now, it seems impossible to short into any headline.
Equity has outperformed credit notably recently, and we have had many discussions with clients over this. IG has been stuck in a very narrow range for almost 3 months, while HY has been outperforming following equity much more closely. The massively high beta of financials to the broad stock market (e.g. since the Feb lows XLF and SPY have a 98.6% r-squared with $1 in XLF causing/implying a $4.5 rise in SPY) is perhaps the largest factor in IG's underperformance of the broad equity market - due to its lack of major financials. ITRX Main would likely track the broad EUR equity market better but EU financials have been notably underperforming thanks to the overhang of the PIIGS (and more peripherally Eastern Europe).
S&P 1200, NASDAQ 2500, Dow 11000, XOver <400bps, HY <500, and VIX at multi-year lows all seem very positive and reflect the reach-for-yield / risk appetite that a ZIRP environment tends to encourage. HY's recent notable outperformance of IG, after relatively stable relationship for a while, seems more about pure reach-for-yield in HY names (and a following HY index) but the relative underperformance of IG to intrinsics today (as fair-value dropped almost 2bps) signifies some HY-IG compression trades (with HY index outperforming IG). The dip below 400bps differential is notable. We remind clients of the relative outperformance of HY over IG in the previous cycle (as we discussed in our strategy article two weeks ago) and how we appear to be cosing in on that blow-off top region once again.
Given the solid move in stocks, TSYs did not underperform much with slight steepening pivoting around the 5Y. The compression in HY spreads does lead to increased need to hedge interest rate duration (given the significant change in empirical duration over analytical duration) - i.e. more selling of TSYs as HY spreads compress in HY bonds but it does not appear we are seeing this impact yet.
A 13pt rise in the S&P would tend to imply (empirically) as 3-4bps compression in IG and just larger than $1 rise in HY, so on this rather astonishing day, equity dramatically outperformed. Perhaps it is the cycle, where we are really entering the shareholder-friendly releveraging segment that is causing credit to drag, or perhaps it is less HFT/Momo/Catchup driven behavior in credit. One other aspect could simply be a lack of medium-term confidence in the recovery's linearly interpolated growth trajectory in credit over equities.
While we have been very much less positive on the broad market, we feel somewhat less bad about our broad-based bets. The low cost long vol bets have lost some ground, though the convexity has helped us in some cases, but the long-short credit and capital structure trades remain the core or our outperformance. At these levels of dispersion in credit, cyclical compression, equity overvaluation (or undervaluation if one assumes growth is exponential), it seems the risk of an abrupt event-driven crack in the hope-laden market profers much more of a leg-down than a leg-up. While this does not lead us to jump in with both feet on a short IG trade (though we would look to start a trade short here in ExHVOL14 (or LoVOL14)), we do like the HY-IG decompression over XOver-Main compression trade at these levels (around 75bps).
For interest, IG14 intrinsics is around 86bps today. It's tightest recent swing was early Jan at 72.5bps and widest 104bps. IG14 intrinsics have traded between 85 and 95bps since Feb 18th (37 days). The compression in the IG skew today suggests a little more pull on IG index but it is clear where stops should be placed for those looking at medium-term trades.
It seems impossible to separate any fundamental valuation from the top-down (and even bottom up when aggregated) from how interventionist the government (or IMF indeed) will be. We continue to do well in our relative-value bets (equity. vol, or credit) and suggest investors stick to this for their alpha, as it seems any beta-sourced bets are pure momentum trades by this point.
Movers and Themes today
Today's broad credit market did see one trend, that of 3s5s flattening - which while both compressed in spread, does tend to imply risk being moved closer in terms of maturity. A much more confident market would see a bull steepener with short-end spreads compressing ahead of medium-term. As an example 37 5Y names were wider but 87 were wider in 3Y today. The top 100 CDO names underperformed the broad market today with more flattening in the 3s5s curve - maybe some stealthy unwinds in CDO hedges as the rally rolls on - and we note off-the-runs tended to minor ly underperform today (though liquidity was all about on-the-runs today).
The barbell nature of risk appetite recently (focus on crossover due to sovereign and up-in-quality) seemed to unravel today at the lower end. A+ and above saw spread decompression in general as the rest of the credit quality spectrum outperformed somewhat more systemically in 3Y maturities but in 5Y outperformance was pretty much across the board.
While FINLs were the best performers in IG14 today, TMT was right up there and across the full universe of CDS, it was Tech and Telecoms (thanks to INTC we assume) that outperformed with Hardware (former) and Satellite Providers (latter) best of all. Media was right behind them, along with Finance (led by Consumer Finance and REITs) while Healthcare, Energy, and Utilities underperformed (though all managed to tighten on average).
At the industry level, Monolines, Energy Services, and Restaurants were the only to widen on average while Autos, Publishers, and Airlines, and Hardware were the best performers. The majority of moves in the Top 100 CDO index were in the tighteners (MBIA only notable widener) led by SFI, MGM, ILFC, CCU, RDN, MGIC, S, and MET. The yieldier Hardware names such as FSL, Unisys, and AMD all compressed handily today. The majority of these names are in HY14 and accounted for the majority of the compression we saw in HY14 today. Interestingly, the higher beta names in HY outperformed today as the skew compressed (suggesting the movement in these compressing names today was perhaps due to index arb). The HY13-14 roll did decompress a little today (its widest in over a week).
Hip is doing well, thanks for asking. Painkillers are helping.
Index/Intrinsics Changes
CDR LQD 50 NAIG -2.74bps to 74.07 (1 wider - 43 tighter <> 28 steeper - 18 flatter).
CDX14 IG -1bps to 82.75 ($0.05 to $100.77) (FV -2.46bps to 86.63) (4 wider - 100 tighter <> 67 steeper - 47 flatter) - Trend Tighter.
CDX14 HVOL -5bps to 130 (FV -5.02bps to 127.69) (0 wider - 28 tighter <> 21 steeper - 5 flatter) - Trend Tighter.
CDX14 ExHVOL +0.26bps to 67.83 (FV -1.68bps to 73.79) (4 wider - 91 tighter <> 49 steeper - 46 flatter).
CDX14 HY (30% recovery) Px $+0.58 to $100.88 / -14.6bps to 477.8 (FV -10.76bps to 457.14) (10 wider - 85 tighter <> 61 steeper - 39 flatter) - Trend Tighter.
LCDX14 (70% recovery) Px $+0.44 to $100 / -11.55bps to 250 - Trend Tighter.
MCDX14 -4bps to 120bps. - Trend Tighter.
CDR Counterparty Risk Index fell 1.9bps (-2.02%) to 91.95bps (6 wider - 8 tighter).
CDR Government Risk Index rose 3.56bps (4.94%) to 75.64bps..
DXY weakened 0.39% to 80.19.
Oil rose $1.79 to $85.84.
Gold rose $5.05 to $1155.7.
VIX fell 0.61pts to 15.59%.
10Y US Treasury yields rose 3.9bps to 3.86%.
S&P500 Futures gained 1.12% to 1206.5.
Spreads were mixed in the US with IG tighter, HVOL improving, ExHVOL weaker, and HY rallying. IG trades 10.3bps tight (rich) to its 50d moving average, which is a Z-Score of -1.3s.d.. At 82.75bps, IG has closed tighter on only 3 days in the last 332 trading days (JAN09). The last five days have seen IG flat to its 50d moving average. Indices typically underperformed single-names with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but widened the skew, ExHVOL intrinsics beat and narrowed the skew, HY outperformed but narrowed the skew.
12.8% of names in IG moved more than their historical vol would imply as higher vol names underperformed lower vol names by -2.52% to -2.52%. IG's vol is around 4.38% per 1 day period, which leaves 95 names higher vol and 30 lower vol than the index.
The names having the largest impact on IG are Alcoa Inc. (-15.25bps) pushing IG 0.13bps tighter, and Universal Health Services Inc (+3.5bps) adding 0.03bps to IG. HVOL is more sensitive with Alcoa Inc. pushing it 0.53bps tighter, and Marriott International Inc. contributing 0.02bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both FirstEnergy Corp (-14.25bps) pushing the index 0.14bps tighter, and Universal Health Services Inc (+3.5bps) adding 0.04bps to ExHVOL.
Today's biggest absolute movers in IG were Universal Health Services Inc (+3.5bps), UnitedHealth Group Inc (+3bps), and XTO Energy Inc (+1.5bps) in the wideners, and Alcoa Inc. (-15.25bps), FirstEnergy Corp (-14.25bps), and Metlife, Inc. (-12.25bps) in the tighteners. Today's biggest percentage movers in IG were XTO Energy Inc (+6.38%), Universal Health Services Inc (+2.54%), and UnitedHealth Group Inc (+2.31%) in the wideners, and General Electric Capital Corp (-10.21%), American Express Company (-10.07%), and FirstEnergy Corp (-7.6%) in the tighteners.
In the names of the HY index, today's biggest percentage movers were Dynegy Holdings Inc. (+5.36%), Mirant North America LLC (+5%), and GMAC LLC (+4.92%) in the wideners, and iStar Financial Inc. (-9.93%), International Lease Finance Corp. (-7.38%), and First Data Corp (-6.2%) in the tighteners. The largest absolute movers in HY were Dynegy Holdings Inc. (+57.7bps), Energy Future Holdings Corp. (+20.22bps), and Residential Capital, LLC (+18.75bps) in the wideners, and iStar Financial Inc. (-98.8bps), Realogy Corporation (-54.84bps), and First Data Corp (-53.69bps) in the tighteners.
The CDR Counterparty Risk Index Series 2 (of brokers and banks) fell -1.76bps (or -1.88%) to 92.08bps. Deutsche Bank AG (1.13bps) is the worst (absolute) performer among the banks/brokers of the CDR Counterparty Index, whilst BNP Paribas (1.44%) is the worst (relative) performer. Citigroup Inc (-12bps) is the best (absolute) performer among the banks/brokers of the CDR Counterparty Index, and Citigroup Inc (-8.6%) is the best (relative) performer.
The CDR Aussie Index fell -0.58bps (or -0.84%) to 68.25bps. Crown Limited (2.07bps) is the worst (absolute) performer, whilst Crown Limited (3.18%) is the worst (relative) performer. Wesfarmers Limited (-3.59bps) is the best (absolute) performer, and Wesfarmers Limited (-4.82%) is the best (relative) performer.
The CDR Asian Index fell -0.82bps (or -1.01%) to 80.08bps. Hana Bank (9bps) is the worst (absolute) performer, whilst Hana Bank (8.91%) is the worst (relative) performer. Kookmin Bank (-6.06bps) is the best (absolute) performer, and Nissan Motor Co Ltd (-6.29%) is the best (relative) performer.
http://www.zerohedge.com/article/daily-credit-summary-april-14-aint-no-stopping-us-now
Spreads were broadly tighter today with HY outperforming IG as equities got a boost from retail sales, Bernanke's low-and-long comments, and Beige book headlines. JPM's earnings (along with CSX's beat and INTC's smash) also helped as financials outperformed in equity and credit. The psychological break of several critical levels in equity and credit indices seems relevant for the moment (despite the survivorship bias inherent in these long-run indices reducing the real worth) but there was no arguing with the breadth today as tighteners outpaced wideners by over 8-to-1.
Overnight strength in futures saw the best print in Europe around its open as the threat of Greece defaulting remains on many people's minds (as we have repeatedly discussed) and we note GGBs now trade above 7% from three years out and are inverted as CDS spikes back to recent wides, dragging SovX (and financials) with it. The implicit fear of a Greek default (or ongoing stress) has systemically impacted the rest of the PIIGS (back above 200bps average) once again with Portugal and Spain worst hit (and their financials really suffering). We have previously commented on the high level of interconnectedness in European sovereigns and financials and how Spain sits atop a lot of these relationships. Maybe it is just a coincidence but the massive rise in the IMF's SDR facility this week along with this spike in GGBs and the rest of the PIIGS, perhaps presumes Greece actually preferring to default its troubles away, an ECB that is freaking out over the level of contagion, and a market that is pricing in systemic risk to the FINLs (which underperformed US FINLs very handiuly today).
European FINLs credit pretty much leaked wider all day (closing near the wides) as Greece weakness spread but it did not impact XOver so much with Main dragged wider by FINLs and compressing the XOver-Main relationship (most of the indices closed near their wides of the day). In the US, demand for riskier debt seemed high today with HY outperforming IG, and high beta outperforming low beta. However, IG and HY was a one-way street today following the stock market with HY breaking above $101 for the first time in HY14 after both opened modestly wider from last night's close.
Jamie Dimon's understandable resistance to writedowns and comments that recovery/lending is picking up seem somewhat disingenuous compared to Beige Book, senior lending officer surveys, HAMP, MBA mortgage apps, and so on. The fact that JPM's loan loss provisions dropped was amazing to us but with no FAS157, who knows. Nevertheless, it was a big enough beat (thanks again to FICC revs) to warrant a broad based buying of financials in equity and credit. Notably we saw 3s5s flattening continue and even in the best names (like JPM) the 5s10s curve is pretty much flat (some inverted) as it appears equity market investors are tending to discount the next quarter only, whereas credit investors are looking a few years out and seeing slightly less utopian environs. With ZIRP, a seemingly self-sustaining supply keeping the curve steep, and no FAS157, stocks seem to discounting the unbreakability of the banks with perhaps a shade more cyclical concern being priced via credit (we suspect mainly due to TLGP maturities and election cycles).
The retail sales beat (which appeared largely driven by autos which inherently needed their own large amount of subsidized credit) was fascinatingly divergent from everything else we see. Food stamps reach record numbers near 40mm people, delinquencies rising and joblessness high would warrant expectations of a more cautious consumer but the numbers don't lie, right. One common theme we are asked about recently, which a few more mainstream economists have been discussing recently, is the rise in strategic defaults (or more clearly strategic non-payment of mortgages) which leads to a large freeing up of income. Combine that with the higher rates of growth in mortgage delinquency over credit card and one begins to wonder. While HAMP seems to make more headlines than it warrants in its success, we assume that at some point all these non-payers-for-shelter will either start paying a smaller mortgage nut or rent and perhaps that the reality of that delevered consumer will come into play. For now, it seems impossible to short into any headline.
Equity has outperformed credit notably recently, and we have had many discussions with clients over this. IG has been stuck in a very narrow range for almost 3 months, while HY has been outperforming following equity much more closely. The massively high beta of financials to the broad stock market (e.g. since the Feb lows XLF and SPY have a 98.6% r-squared with $1 in XLF causing/implying a $4.5 rise in SPY) is perhaps the largest factor in IG's underperformance of the broad equity market - due to its lack of major financials. ITRX Main would likely track the broad EUR equity market better but EU financials have been notably underperforming thanks to the overhang of the PIIGS (and more peripherally Eastern Europe).
S&P 1200, NASDAQ 2500, Dow 11000, XOver <400bps, HY <500, and VIX at multi-year lows all seem very positive and reflect the reach-for-yield / risk appetite that a ZIRP environment tends to encourage. HY's recent notable outperformance of IG, after relatively stable relationship for a while, seems more about pure reach-for-yield in HY names (and a following HY index) but the relative underperformance of IG to intrinsics today (as fair-value dropped almost 2bps) signifies some HY-IG compression trades (with HY index outperforming IG). The dip below 400bps differential is notable. We remind clients of the relative outperformance of HY over IG in the previous cycle (as we discussed in our strategy article two weeks ago) and how we appear to be cosing in on that blow-off top region once again.
Given the solid move in stocks, TSYs did not underperform much with slight steepening pivoting around the 5Y. The compression in HY spreads does lead to increased need to hedge interest rate duration (given the significant change in empirical duration over analytical duration) - i.e. more selling of TSYs as HY spreads compress in HY bonds but it does not appear we are seeing this impact yet.
A 13pt rise in the S&P would tend to imply (empirically) as 3-4bps compression in IG and just larger than $1 rise in HY, so on this rather astonishing day, equity dramatically outperformed. Perhaps it is the cycle, where we are really entering the shareholder-friendly releveraging segment that is causing credit to drag, or perhaps it is less HFT/Momo/Catchup driven behavior in credit. One other aspect could simply be a lack of medium-term confidence in the recovery's linearly interpolated growth trajectory in credit over equities.
While we have been very much less positive on the broad market, we feel somewhat less bad about our broad-based bets. The low cost long vol bets have lost some ground, though the convexity has helped us in some cases, but the long-short credit and capital structure trades remain the core or our outperformance. At these levels of dispersion in credit, cyclical compression, equity overvaluation (or undervaluation if one assumes growth is exponential), it seems the risk of an abrupt event-driven crack in the hope-laden market profers much more of a leg-down than a leg-up. While this does not lead us to jump in with both feet on a short IG trade (though we would look to start a trade short here in ExHVOL14 (or LoVOL14)), we do like the HY-IG decompression over XOver-Main compression trade at these levels (around 75bps).
For interest, IG14 intrinsics is around 86bps today. It's tightest recent swing was early Jan at 72.5bps and widest 104bps. IG14 intrinsics have traded between 85 and 95bps since Feb 18th (37 days). The compression in the IG skew today suggests a little more pull on IG index but it is clear where stops should be placed for those looking at medium-term trades.
It seems impossible to separate any fundamental valuation from the top-down (and even bottom up when aggregated) from how interventionist the government (or IMF indeed) will be. We continue to do well in our relative-value bets (equity. vol, or credit) and suggest investors stick to this for their alpha, as it seems any beta-sourced bets are pure momentum trades by this point.
Movers and Themes today
Today's broad credit market did see one trend, that of 3s5s flattening - which while both compressed in spread, does tend to imply risk being moved closer in terms of maturity. A much more confident market would see a bull steepener with short-end spreads compressing ahead of medium-term. As an example 37 5Y names were wider but 87 were wider in 3Y today. The top 100 CDO names underperformed the broad market today with more flattening in the 3s5s curve - maybe some stealthy unwinds in CDO hedges as the rally rolls on - and we note off-the-runs tended to minor ly underperform today (though liquidity was all about on-the-runs today).
The barbell nature of risk appetite recently (focus on crossover due to sovereign and up-in-quality) seemed to unravel today at the lower end. A+ and above saw spread decompression in general as the rest of the credit quality spectrum outperformed somewhat more systemically in 3Y maturities but in 5Y outperformance was pretty much across the board.
While FINLs were the best performers in IG14 today, TMT was right up there and across the full universe of CDS, it was Tech and Telecoms (thanks to INTC we assume) that outperformed with Hardware (former) and Satellite Providers (latter) best of all. Media was right behind them, along with Finance (led by Consumer Finance and REITs) while Healthcare, Energy, and Utilities underperformed (though all managed to tighten on average).
At the industry level, Monolines, Energy Services, and Restaurants were the only to widen on average while Autos, Publishers, and Airlines, and Hardware were the best performers. The majority of moves in the Top 100 CDO index were in the tighteners (MBIA only notable widener) led by SFI, MGM, ILFC, CCU, RDN, MGIC, S, and MET. The yieldier Hardware names such as FSL, Unisys, and AMD all compressed handily today. The majority of these names are in HY14 and accounted for the majority of the compression we saw in HY14 today. Interestingly, the higher beta names in HY outperformed today as the skew compressed (suggesting the movement in these compressing names today was perhaps due to index arb). The HY13-14 roll did decompress a little today (its widest in over a week).
Hip is doing well, thanks for asking. Painkillers are helping.
Index/Intrinsics Changes
CDR LQD 50 NAIG -2.74bps to 74.07 (1 wider - 43 tighter <> 28 steeper - 18 flatter).
CDX14 IG -1bps to 82.75 ($0.05 to $100.77) (FV -2.46bps to 86.63) (4 wider - 100 tighter <> 67 steeper - 47 flatter) - Trend Tighter.
CDX14 HVOL -5bps to 130 (FV -5.02bps to 127.69) (0 wider - 28 tighter <> 21 steeper - 5 flatter) - Trend Tighter.
CDX14 ExHVOL +0.26bps to 67.83 (FV -1.68bps to 73.79) (4 wider - 91 tighter <> 49 steeper - 46 flatter).
CDX14 HY (30% recovery) Px $+0.58 to $100.88 / -14.6bps to 477.8 (FV -10.76bps to 457.14) (10 wider - 85 tighter <> 61 steeper - 39 flatter) - Trend Tighter.
LCDX14 (70% recovery) Px $+0.44 to $100 / -11.55bps to 250 - Trend Tighter.
MCDX14 -4bps to 120bps. - Trend Tighter.
CDR Counterparty Risk Index fell 1.9bps (-2.02%) to 91.95bps (6 wider - 8 tighter).
CDR Government Risk Index rose 3.56bps (4.94%) to 75.64bps..
DXY weakened 0.39% to 80.19.
Oil rose $1.79 to $85.84.
Gold rose $5.05 to $1155.7.
VIX fell 0.61pts to 15.59%.
10Y US Treasury yields rose 3.9bps to 3.86%.
S&P500 Futures gained 1.12% to 1206.5.
Spreads were mixed in the US with IG tighter, HVOL improving, ExHVOL weaker, and HY rallying. IG trades 10.3bps tight (rich) to its 50d moving average, which is a Z-Score of -1.3s.d.. At 82.75bps, IG has closed tighter on only 3 days in the last 332 trading days (JAN09). The last five days have seen IG flat to its 50d moving average. Indices typically underperformed single-names with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but widened the skew, ExHVOL intrinsics beat and narrowed the skew, HY outperformed but narrowed the skew.
12.8% of names in IG moved more than their historical vol would imply as higher vol names underperformed lower vol names by -2.52% to -2.52%. IG's vol is around 4.38% per 1 day period, which leaves 95 names higher vol and 30 lower vol than the index.
The names having the largest impact on IG are Alcoa Inc. (-15.25bps) pushing IG 0.13bps tighter, and Universal Health Services Inc (+3.5bps) adding 0.03bps to IG. HVOL is more sensitive with Alcoa Inc. pushing it 0.53bps tighter, and Marriott International Inc. contributing 0.02bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both FirstEnergy Corp (-14.25bps) pushing the index 0.14bps tighter, and Universal Health Services Inc (+3.5bps) adding 0.04bps to ExHVOL.
Today's biggest absolute movers in IG were Universal Health Services Inc (+3.5bps), UnitedHealth Group Inc (+3bps), and XTO Energy Inc (+1.5bps) in the wideners, and Alcoa Inc. (-15.25bps), FirstEnergy Corp (-14.25bps), and Metlife, Inc. (-12.25bps) in the tighteners. Today's biggest percentage movers in IG were XTO Energy Inc (+6.38%), Universal Health Services Inc (+2.54%), and UnitedHealth Group Inc (+2.31%) in the wideners, and General Electric Capital Corp (-10.21%), American Express Company (-10.07%), and FirstEnergy Corp (-7.6%) in the tighteners.
In the names of the HY index, today's biggest percentage movers were Dynegy Holdings Inc. (+5.36%), Mirant North America LLC (+5%), and GMAC LLC (+4.92%) in the wideners, and iStar Financial Inc. (-9.93%), International Lease Finance Corp. (-7.38%), and First Data Corp (-6.2%) in the tighteners. The largest absolute movers in HY were Dynegy Holdings Inc. (+57.7bps), Energy Future Holdings Corp. (+20.22bps), and Residential Capital, LLC (+18.75bps) in the wideners, and iStar Financial Inc. (-98.8bps), Realogy Corporation (-54.84bps), and First Data Corp (-53.69bps) in the tighteners.
The CDR Counterparty Risk Index Series 2 (of brokers and banks) fell -1.76bps (or -1.88%) to 92.08bps. Deutsche Bank AG (1.13bps) is the worst (absolute) performer among the banks/brokers of the CDR Counterparty Index, whilst BNP Paribas (1.44%) is the worst (relative) performer. Citigroup Inc (-12bps) is the best (absolute) performer among the banks/brokers of the CDR Counterparty Index, and Citigroup Inc (-8.6%) is the best (relative) performer.
The CDR Aussie Index fell -0.58bps (or -0.84%) to 68.25bps. Crown Limited (2.07bps) is the worst (absolute) performer, whilst Crown Limited (3.18%) is the worst (relative) performer. Wesfarmers Limited (-3.59bps) is the best (absolute) performer, and Wesfarmers Limited (-4.82%) is the best (relative) performer.
The CDR Asian Index fell -0.82bps (or -1.01%) to 80.08bps. Hana Bank (9bps) is the worst (absolute) performer, whilst Hana Bank (8.91%) is the worst (relative) performer. Kookmin Bank (-6.06bps) is the best (absolute) performer, and Nissan Motor Co Ltd (-6.29%) is the best (relative) performer.
http://www.zerohedge.com/article/daily-credit-summary-april-14-aint-no-stopping-us-now