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IG On-the-run Spreads (Dec 15)


IG6 Spreads (Dec 15)


IG7 Spreads (Dec 15)


IG8 Spreads (Dec 15)


IG9 Spreads (Dec 15)


4 Responses

  1. what gets credit spreads to come in…absent that happening its hard to get positive on equities, or anything else for that matter.

  2. Isn’t it more than that. I look at the spread between CDS and underlying cash bonds which used to be roughly -10bps gap out to over -200bps due to liquidity premia. Spreads on investment grade bonds are suggesting cumulative default rates approaching 50%, 10 times the worst level seen before. I’ve got to believe that much of the problem is there is no liquidity because everyone deleveraging at the same time. I would have thought the actions by the fed/treasury would have improved liquidity in the markets by now…what is missing?

  3. cds is ‘cheap’ partially because those counterparties too might default.

    and yes, everything is deleveraging at the same time, which means the banks have to pick up the leverage one way or another, and the mark to market switch from mark to model made that a lot more costly for the banks (price of bank capital goes up), hence wider spreads.

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