<HELP> for explanation

Блог им. getstar

Тревожные звоночки

Повсеместно взлетели CDS индексы на джанк (высокодоходные облигации)

И в Европе

The cost of insuring against losses on European high-yield corporate debt rose to the highest in two months after Bank of Japan policy makers refrained from increasing monetary stimulus. The Markit iTraxx Crossover Index of credit-default swaps on 50 companies with mostly junk credit ratings rose for a second day, jumping as much as 29 basis points to 477,the highest since April 5. The gauge was trading at 473 at 11:01 a.m. in London. The Markit iTraxx Europe Index of credit-default swaps linked to 125 companies with investment-grade ratings rose as much as seven basis points to 113,the highest since April 19. An increase signals deterioration in perceptions of credit quality. The Markit iTraxx Financial Index linked to senior debt of 25 banks and insurers climbed nine basis points to 167 and the subordinated index rose 12 basis points to 242. 


The Markit CDX North American Investment Grade Index, a credit-default swaps benchmark that investors use to hedge against losses or to speculate on creditworthiness, added 3.3 basis points to a mid-price of 87.4 basis points at 8:17 a.m. in New York, according to prices compiled by Bloomberg. The index reached 88.7 June 6, the highest intraday level since April 5.   

Произошёл рекодный скачок short interest на HYG и JNK


Т.е управляющие хэджируют свои HY bond portfolios 

Волатильность  Junk Bond ETF выросла до трёхлетнего максимума по отношению к акциям

Junk Bond ETF Volatility Hits Three-Year High to Stocks: Options. The cost of hedging against swings in a security tracking U.S. high-yield debt rose to a three-year high relative to equities on concern the bond market will extend losses should the Federal Reserve begin curtailing its stimulus. Implied volatility on the iShares iBoxx $ High Yield Corporate Bond Fund was .71 times the measure for the SPDR S&P 500 ETF Trust, according to Bloomberg. The ratio reached .73 on June 3, the highest level since May 2010.

Штаты сегодня сливали на слухах о том, что Бэня может начать сворачивание уже на ближайшем заседании 

Market talk of possible Fed tapering at their meeting next week, which is making its way around desks as the USD strengthens and after the large sell-off in equities this morning

Понятно что развод скорее всего, но как говорится нет дыма без огня и возможно на ближ.заседании уже несколько членов FOMC проголосуют «за».
  • Ключевые слова:
  • HYG,
  • JNK

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....все тэги