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Updated by Garth Friesen on Apr 10, 2018
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Highs & Lows: What's Moving Markets and Why- April 9th

10 charts that highlight developments in financial markets

1

Government Supply

Government Supply

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

2

LIBOR vs REPO Spread

LIBOR vs REPO Spread

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

3

LIBOR/GC Spread Impacts Swap Spread

LIBOR/GC Spread Impacts Swap Spread

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

4

Structural Reform in Europe

Structural Reform in Europe

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

5

Volatility Across Asset Classes

Volatility Across Asset Classes

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

6

Equity vs Bond Volatility

Equity vs Bond Volatility

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

7

Stock/Bond Volatility Correlation

Stock/Bond Volatility Correlation

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

8

Municipal Bonds: HY vs AAA

Municipal Bonds: HY vs AAA

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

9

US Yield Curve

US Yield Curve

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

10

Equity Market Correction

Equity Market Correction

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

11

Disclaimer

Disclaimer