21 August 2015 by pdonnat
DataGrapple clusters CDS having the highest correlation one to another. The DataGrapple machine tree explores the CDS universe in clusters of similar behavior. There are two specific clusters. Both are including only the “new” CDS, the CDS which have started to trade only over the last year, like Selecta (see yesterday Blog) quoted since October 2014. These names are late LBO names. The distressed "LBO" cluster is 45bps wider (8%), the high yield "LBO" cluster is 20bps wider (6%). These names are currently the weakest part of the liquid credit market and they have room to trade weaker. As expected, the fourth worst performer is the emerging market cluster which is 11bps wider (+4%). Russia +40bps, Indonesia (+38bps) are leading this cluster. I recommend to the user opening the Grapple of the day via the Grapple Store, select 1W variation and click on the bars to go through the various clusters and see what happened during this peculiar week.