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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.
CREDIT MACRO
- •We present below our updated normalised rating bucket spread moves over the past month.
- •As is visible from the time-series, spread moves between rating buckets beyond two standard deviations (SD) versus the trailing twelve month mean spread (FV) tend to be met with retracement.
- •All the tracked rating bucket spreads (AA vs. A, A vs. BBB, BBB vs. BB) now stream on the tight side of FV to varying degrees for EUR/GBP/USD.
- •EUR rating bucket spreads have been relatively flat MoM, streaming slightly tighter and sitting around the 2SD level of tightness.
- •USD rating bucket spreads all stream as 1.7SD tight of fair value as of yesterday’s close with the AA vs. A spread tightening 0.8SD to this level, A vs. BBB widening 0.6SD to this level and BBB vs. BB more stable.
- •GBP rating bucket spreads stream as tighter MoM with the AA vs. A spread now streaming very slightly tight of fair value (though we note the small size of BBG’s AA index with just 69 bonds) while the A vs. BBB spread streams at the richest level of all groups at 2.5SD tight.
| Feb 24 | AA vs. A | A vs. BBB | BBB vs. BB |
| EUR | 2.1 SD tight | 2.0 SD tight | 1.9 SD tight |
| USD | 1.7 SD tight | 1.7 SD tight | 1.7 SD tight |
| GBP | 0.2 SD tight | 2.5 SD tight | N/A |
| Jan 24 | AA vs. A | A vs. BBB | BBB vs. BB |
| EUR | 2.0 SD tight | 1.8 SD tight | 1.8 SD tight |
| USD | 0.9 SD tight | 2.3 SD tight | 1.5 SD tight |
| GBP | 0.8 SD wide | 1.8 SD tight | N/A |
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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