Global fixed income focus - November 2015
Markit has published the November 2015 edition of the Global fixed income focus. The publication includes a monthly market update and special reports that leverage the breadth and depth of Markit's pricing and analytical datasets across the various fixed income markets.
Here are the highlights from this month's publication:
- This month's feature report discusses how combining equity short interest and leveraged loan pricing data can be an effective tool in assessing both markets. We compared short interest data on 71 global loan issuers with public traded equity to over 80 of their outstanding leveraged loans.
- The leveraged loan market continued its slide in November, despite a solid performance in the equity market. The Markit iBoxx USD Leveraged Loan index (MiLLi) declined 1.01% during the month, dragging loan performance down 0.02% year-to-date.
- European and Japanese CDS sector curves were modestly tighter from the AAA down to the B rated cohort, while North American CDS were slightly wider across all, but the B rated cohort. CCC cohorts were sharply wider across the globe, with only European CDS managing to avoid new one year wides for the rating category.
- US dollar denominated Markit iBoxx USD Corporate Index returns were 0.21% lower in November, while sterling and euro denominated bonds were 1.83% and 0.72% higher, respectively, on the month. Basic material spreads have come under particular focus in the wake of lower commodity prices and declining demand.
- Italian sovereign CDS were the best performer in the G7 for the second consecutive month on a spread percentage basis, tightening 7.5bps to close the month at 95.1bps.
- Puerto Rico continued to take centre stage in the municipal bond market after it diverted scarce funds to make a $354m payment to its Government Development Bank (GDB) bondholders on December 1st, with some market participants believing that they would choose not to make the sizable payment.
- The securitised product markets continued to see weaker liquidity in November, as the investors continue to reassess and reposition ahead of a more likely Fed rate increase at the December meeting.
Chris Fenske, Director, Head of Fixed Income Pricing Research
Tel: +1 212 205 7142
chris.fenske@markit.com
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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.