US: Corporate Credit Update: Bond Risk Off Early Highs
Sep-28 17:55
Early reversal for investment-grade corporate credit risk, levels receded off early morning high not seen since April 2020 this morning after the BoE anncd a surprise bond buying commitment ahead the NY open. Bonds and risk assets alike bounced/held gains through midday: SPX +51.0 at 3712.0, Crude +3.20 at 81.70, Gold +31.95 at 1660.84 - and of course GBP bounced to 1.0911 while US$ declined.
- Investment grade risk measured by Markit's CDXIG5 index is currently -3.360 at 107.792 vs. 113.718 early session high; CDXHY5 high yield index at 95.995 (+.842).
- Outperforming credit sectors (tighter or least wide): Technology -3.6, Industrials -2.9 and Utilities -2.6.
- Lagging sectors (wider or least narrow): subordinated Financials +2.9, Materials +1.4 and Sr Financials +0.4.
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US TSY OPTIONS: 10Y Put Vertical
Aug-29 17:04
- +5,000 TYV 115/116 put spds, 17 ref 117-03
STIR: BLOCK, SOFR Red-Pack Strip
Aug-29 17:02
- 2,500 SOFR Red packs (SFRU3-SFRM3) -0.045 at 1251:11ET - most-likely swap related: payer with short end spds running wider
OUTLOOK: Tuesday Data Calendar
Aug-29 16:47
- US Data/Speaker Calendar (prior, estimate)
- Aug-30 0800 Richmond Fed Barkin eco-outlook
- Aug-30 0900 FHFA House Price Index MoM (1.4%, 0.8%); QoQ (4.6%, --)
- Aug-30 0900 S&P CoreLogic CS 20-City MoM SA (1.32%, 0.90%)
- Aug-30 0900 S&P CoreLogic CS 20-City YoY NSA (20.5%, 19.2%)
- Aug-30 1000 Conf. Board Consumer Confidence (95.7, 97.7)
- Aug-30 1000 JOLTS Job Openings (10.698M, 10.475M)
- Aug-30 1100 NY Fed Williams economic outlook
