Overnight Credit Trading

February 21st, 2017 6:37 am | by John Jansen |

Via Bloomberg:

IG CREDIT: Lowest Volume Since Jan. vs Huge Volume Prior 3 Days
2017-02-21 11:15:49.518 GMT

By Robert Elson
(Bloomberg) — Secondary IG trading ended with a Trace
count of $13.5b Friday vs $24b Thursday, $18.2b last Friday. It
was the lowest volume session since $12.8b Jan. 3.

* 10-DMA $19.9b; 10-Friday moving avg $13.2b
* 144a trading added $1.8b of IG volume Friday vs $2.2b
Thursday, $2.1b last Friday

* Top 5 highest volume sessions back to 2005
* $28.2b, 1/31/2017
* $25.2b, 11/30/2016
* $24.6b, 2/15/2017
* $24.0b, 2/16/2017
* $23.8b, 2/14/2017
* 6 of the top-10 highest volume sessions have been this
year

* The top-3 most active issues longer than 2 years:
* KHC 4.375% 2046 was 1st with client flows accounting for
90% of volume
* GS 3.85% 2027 was next with client and affiliate trades
taking 87% of volume
* VZ 2.625% 2020 was 3rd; client and affiliate trades took
82% of volume
* VZ 2.946% 2022 was most active 144a issue with client and
affiliate trades taking 83% of volume

* Bloomberg Barclays US IG Corporate Bond Index OAS at +119 vs
+118, the new tight for the year and the tightest level
since 2014
* 2017 wide/tight: 122/118
* 2016 wide/tight: 215 (a new wide since Jan. 2012)/122
* 2015 wide/tight: 171/122
* 2014 wide/tight: 137/97
* All time wide/tight back to 1989: 555 (Dec. 2008)/54
(March 1997)

* BofAML US Corporate IG Index unchanged at +124; +123, a new
tight level YTD and the tightest since Oct. 2014 was seen
Feb. 15; +106 was hit in June 2014

* Standard & Poor’s Global Fixed Income Research IG Index
unchanged at +165; +164, the tightest spread back to at
least 2015 was seen Jan. 24-27

* Current market levels vs early Friday:
* 2Y 1.235% vs 1.194%
* 2017 High/Low, 1.236%/1.145%
* 2016 High/Low, 1.275%/0.552%
* Looking back 10 years: 5.098%/0.155%
* 10Y 2.449% vs 2.418
* 2017 High/Low, 2.513%/2.326%
* 2016 High/Low, 2.598%/1.359%
* Looking back 10 years: 5.295%/1.359%
* DOW futures +54
* Oil $54.25 vs $52.98

* No IG issuance Friday vs $800m Thursday, $5.65b Wednesday,
$11.9b Tuesday, $6.7b Monday
* Recap of last week’s subdued IG issuance
* Monthly volume $63.65b
* YTD volume $291.1b; ex-SSAs $226.6b

* Pipeline: 2 to Price, Adds/Updates PH, TXN, MOS, MCY
* Note: subscribe bar in upper left corner

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