Highs & Lows: What's Moving Markets and Why- April 9th

General Collateral (“GC”) is the rate where you can borrow cash using governments bonds as security. The spreads to LIBOR has widened.
Source: Bloomberg, III Capital Mgmt

Most of the increase in gross US Treasury supply came in the form of T-Bills. The heavy supply helped push up all money market rates.
Source: Reuters

The LIBOR/GC impacts short-dated swap spreads. In the last 6 months, LIBOR/GC has widened more than 2-year swap spreads.
Source: Bloomberg, III Capital Mgmt

Europe has become an easier place to do business, improving long-term competitiveness. At post crisis tights, peripheral spreads reflect the shift.
Source: Deutsche Bank

Other than equities, volatility across asset classes is just moderately higher compared to a year ago. Is this sustainable?
Source: Bloomberg, III Capital Mgmt

YTD, realized 10 day volatility in high-grade bonds is 5% higher; S&P volatility is 560% higher. That is strange, to say the least.
Source: Bloomberg, III Capital Mgmt

The correlation between the VIX (equity vol) and the MOVE (bond vol) has plummeted to zero from 0.60 in Q3 of last year.
Source: Bloomberg

Despite the widening of corporate credit spreads, HY muni bonds are trading very tight to AAA munis.
Source: Barclays

A tale of two markets: over the last 5 years, long rates have dropped, but short rates have risen. Bonds are in a bull and bear market simultaneously.
Source: JP Morgan

Historically, it takes 135 days for the equity market to recoup losses from a correction. We are only 47 days into this one.
Source: Twitter