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day1pnl


Total Posts: 56
Joined: Jun 2017
 
Posted: 2020-04-16 20:37
... and quite quickly these days.. not really “a question” but wanted to share in any case...

WLL default, CDS triggered
FTR default, CDS triggered
JCP skipped coupon , grace period
NMG skipped coupon, grace period
DO skipped coupon, grace period

Talking ^^ in the last few weeks (and last few days speed has increased)

Still a plethora of wide names which are expected to default (CHK, CRC etc). Quite non-negligible moves in tranches vs delta today especially in off the run 15-25/.. and HY33 5Y 35-100% corr still circa @ 85% thoughts on P-measure probability of trigger there? And thoughts on what could be the “unexpected” names to default in cdxhy?

Hard to get bulled up over a ~605 bps index spread, or equities and HYG when seeing this, especially if oil continues on its path towards zero... but certain parts of cap structure have quite high spread per unit of delta..

Kitno


Total Posts: 489
Joined: Mar 2005
 
Posted: 2020-04-16 21:23
"Hard to get bulled up over a ~605 bps index spread"

We've shut the economy. The real economic effects have yet to hit (1-2m time before the true pain in 9-15m). Yet we've had the mother of all squeezes and the kitchen sink with fiscal and monetary policy has been thrown. Overlaid we were at the end of a credit cycle printing cov-lite.

Hard not to be a cataclysmic bear. My thoughts focus on good inflation hedges these days.

All the soul of man is resolution, which in valiant men falters never, until their last breath.
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