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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
MACRO CREDIT
- We present the below normalised spread moves i.e. the relative richness and cheapness of monthly index OAS spreads on a normalised twelve month basis.
- In December we noted that spreads had richened in prior weeks, with spreads broadly approaching towards a level of two standard deviations (SD) rich.
- Movements beyond a level of two standard deviations richer or poorer beyond fair value are typically met with retracement.
- Updating the calculation, spreads are still screening as rich though with some changes in the degree of richness.
- $IG and £IG spread richness remains constant MoM near the 2SD rich level though we note some richening in €IG spreads on a normalised basis (now screening as 1.6SD rich from 1.2SD).
- HY spreads are all screening as richer MoM - all indices screened as 1.4SD rich last month with both €HY and £HY now screening beyond 2SD rich against a more gradual richening in $HY).
| 12 Jan | USD | EUR | GBP |
| IG | 2.0 SD rich | 1.6 SD rich | 1.9 SD rich |
| HY | 1.6 SD rich | 2.3 SD rich | 2.1 SD rich |
| 12 Dec | USD | EUR | GBP |
| IG | 2.0 SD rich | 1.2 SD rich | 1.9 SD rich |
| HY | 1.4 SD rich | 1.4 SD rich | 1.4 SD rich |
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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