Credit breakdown as one-day volatility outstrips financial crisis
Credit default swap markets have surpassed the record one-day volatility of the global financial crisis, with indices surging to new wide prints as the spiralling impact of the coronavirus outbreak brings government lockdowns on travel while wreaking havoc on oil prices and supply chains

Credit traders' kickstand: this is not a drill
Freefall in financial markets has brought one of the credit market’s most volatile sessions on record, as coronavirus cases globally near 100,000 and the WHO has warned governments are not doing nearly enough. iTraxx Crossover one-day volatility is up with the 2008 global financial crisis and 2011 European sovereign crisis

Tranche traders aim to navigate default risk while staying clear of coronavirus contagion
The CDS market is navigating between two sources of risk for equity and mezzanine high yield index tranches. The default of US media company McClatchy has focused idiosyncratic concerns, while the spread of the coronavirus has stoked fears of a systemic sell-off.

IHS Markit mulls CDX EM growth and iTraxx ESG screen
Increasing the portfolio size of CDX EM and consulting on an ethically-screened version of iTraxx Europe are among the projects index administrator IHS Markit has been working on ahead of the 20 March roll.

Covid-19 outbreak rattles carry traders
The coronavirus panic hitting financials markets at the end of February has been a strong driver of relative value trades, with CDS underperforming both cash bonds and equity, while financial names felt the heat more than corporate borrowers as geographical risk came into play.

Axiom seeks high yield sweet spot with long-short fund
Axiom Alternative Investments is set to launch a long-short fund that will identify mispricings of high yield credit arising from the prolonged compression of spreads between different rating bands.

Huge CDS gap yawns between US and Europe, despite Fed intervention
Having crossed paths in a rare moment of compression on Monday, iTraxx Europe and its US counterpart CDX IG have since undergone one of their biggest moments of dislocation since the global financial crisis, as an emergency rate cut by the Federal Reserve failed to comfort investors about the impact of the coronavirus on the US economy

Europe rallies hard after CDX IG closes tighter for first time since June
Volatility in credit remains heightened due to the coronavirus outbreak, but movement has become two-way, with European CDS indices surging tighter today after US index CDX IG ended yesterday’s session tighter than iTraxx Europe for the first time in nine months

CDS takes brunt of coronavirus panic sell-off
European credit derivatives are among the hardest hit assets today amid a broad sell-off, as the fast spread of the coronavirus into Italy, Korea and Iran has brought a reappraisal of the impact it could have on financial markets

Credit traders’ kickstand: weaker mood, but primary drive strengthens
The primary market for high yield bonds is open again, after a pause around the US holiday on Monday, with issues in Europe today from the likes of SIlgan and Catalent striking a bullish tone and setting the scene for an expected flurry of deals next week. But this comes as credit generally weakens, with concerns about the spread and reappraisal of coronavirus cases causing spreads to push back from their recent tights

TUI enjoys 100bp two-week getaway
TUI is today’s biggest mover among constituents of CDS index iTraxx Crossover, after the Hannover headquartered travel company said it recorded its highest ever booking volumes in January – seizing market share after the collapse of UK rival Thomas Cook

Credit Rendezvous: the outlook in 2020 across a dozen segments of the credit market
Welcome to the Credit Rendezvous, the first instalment of a regular feature published by Creditflux that tracks credit market dynamics in a dozen segments from investment grade, liquid loans, CLOs and CSOs all the way through to distressed debt. We view this as the meeting point for credit specialists across strategies to share their perspectives

Correlation rise stokes mezz rally but adds to CSO woes
Below the calm surface of the credit market, correlation has been churning and creating dislocations rich with reward for index tranche traders but complicating bespoke issuance, say sources.

Italian financials put Europe's best foot forward as US outperforms
Financial credits are once again leading the way as the market continues this week’s sharp return rally

Credit traders' kickstand: full reversal for Crossover as coronavirus spreads
European high yield CDS index iTraxx Crossver is ending the week back at around 230bp, in effect undoing all its improvement since the start of December

Skew trading discord as single name CDS snub index rally
The credit market’s reappraisal of risk today, following from Monday’s widening on coronavirus fears, comes with a marked dislocation between the performance of CDS indices and their underlying constituents

European financials outperform corporates as coronavirus spreads
Financial CDS is outperforming corporate credit today, and Europe outperforming the US, as the market jumps wider on rising alarm at the spread of China’s novel coronavirus

Credit event protocol goes into force with 60 extra sign-ups
The International Swaps & Derivatives Association is going live today with a protocol aimed at stamping out narrowly tailored credit events from the CDS market, having signed up 1,358 entities

Tabula adds dollar-hedged class to credit volatility ETF
Tabula Investment Management, a fixed income exchange traded fund (ETF) provider, has added a US dollar-hedged class to a product that captures the difference between realised and implied volatility in the CDS index options market

Four days left to join narrowly tailored credit event protocol
Those market participants yet to sign up to the International Swaps & Derivatives Association’s protocol on narrowly tailored credit events have until Friday to do so

Credit traders’ kickstand: primary market flood gives basis for relative value
A deluge of investment grade bond supply in the first two weeks of the year has weighed on the spread basis between the cash market and CDS, leaving opportunities for traders who believe this dislocation should correct over the coming weeks

Credit traders' kickstand: convergence trades rewarded as financials outperform
Compression is the watchword in credit at the start of the year, with the market’s navigation of post-crisis tight prints bringing an outperformance of financial names over corporate borrowers and US over European indices

This is not just wider: M&S stands apart as CDS picks new tights
As credit spreads head back into post-crisis record tight territory amid a softening of tone between the US and Iran, retailer Marks & Spencer is bucking the rally having issued a profit warning today

Oil supply concerns grease CDS relative value trade
With credit spreads having begun 2020 circling post-crisis tight prints, there is not much room across the market for improvement and plenty of susceptibility to jitters. But at least one CDS index shows scope to narrow further and could form part of a relative value trade

Rude awakening for credit as US airstrike sends global shockwaves
It only took a day for the positive mood greeting financial markets in 2020 to turn nervous, with credit and equities faltering in early trading today after the US killed a top Iranian military official