28 August 2015 by pdonnat
There is a word for August holiday makers in France, the “aoûtiens”. In August, most small businesses are closed in France. The “aoûtiens” are outpacing the "juilletistes”. So, for the “aoûtiens” coming back to the office next Tuesday (London markets are closed next Monday), the Grapple of the day provides a summary of what happened in August in the CDS market. We are using the Machine classification. The worst performers are the LBO names in Europe as they have the highest negative convexity on refinancing. The next following under-performers are emerging sovereigns and continental Asia without a surprise. Surprisingly, US IG is under-performing US HY in this classification due to the energy complex. US HY appears to have reach a saturation level while Japan is the safe heaven. Also, looking at the stick providing the high/low during this month, we can see that we are closing wider but the markets came back half of the worst widening. With no surprise Asia Ex-Japan is lagging the recent market relief.
All market participants will be back next week. The CDS market will be very interesting next month. New index series will be issued at the end of the month.