Low VIX and Thin Spreads Could Be on Thin Ice (Capital Markets Research) - Moody's Capital Markets Research

Low VIX and Thin Spreads Could Be on Thin Ice (Capital Markets Research)

Low VIX and Thin Spreads Could Be on Thin Ice (Capital Markets Research) - Moody's Capital Markets Research
Low VIX and Thin Spreads Could Be on Thin Ice (Capital Markets Research)
Published Feb 24, 2017
28 pages — Published Feb 24, 2017
Price US$ 750.00  |  Buy this Report Now

About This Report

  
Abstract:

WEEKLY MARKET OUTLOOK FEBRUARY 23, 2017 CAPITAL MARKETS RESEARCH Moodys Analytics markets and distributes all Moodys Capital Markets Research, Inc. materials. Moodys Capital Markets Research, Inc is a subsidiary of Moodys Corporation. Moodys Analytics does not provide investment advisory services or products. For further detail, please see the last page. Low VIX and Thin Spreads Could Be on Thin Ice Credit Markets Review and Outlook by John Lonski Low VIX and Thin Spreads Could Be on Thin Ice. ¯ FULL STORY PAGE 2 The Week Ahead We preview economic reports and forecasts from the US, UK/Europe, and Asia/Pacific regions. ¯ FULL STORY PAGE 5 The Long View Check our chart here for forecast summaries of key credit market metrics. Full updated stories, First- quarter 2017s US$ high-yield bond issuance may expand by 49% annually from Q1- 2016s low base, begin on page 14. ¯ FULL STORY PAGE 14 Ratings Round-Up by Ben Garber and Njundu Sanneh Aggressive Financial Policy Leads to Downgrades. ¯ FULL STORY PAGE 19 Market Data Credit spreads, CDS movers, issuance. ¯ FULL STORY PAGE 21 Moodys Capital Markets Research recent publications Links to commentaries on: Rates, France, demography, boom, Japan, reform, India, Turkey, risk, UK, deregulation, potential, BAC, optimism, Portugal, DB, revisions, outlook, US, great, China. ¯ FULL STORY PAGE 25 Credit Spreads Investment Grade: Year-end 2017 spread to exceed its recent 120 bp. High Yield: After recent spread of 384 bp, it may approximate 460 bp by year-end 2017. Defaults US HY default rate: after January 2017s 5.8%, Moodys Credit Policy Group forecasts it near 3.7% by 4Q 2017. Issuance In 2016, US$-denominated IG bond issuance grew by 5.5% to a record $1.411 trillion, while US$-priced high-yield bond issuance fell by -3.5% to $341 billion. For 2017, US$- denominated IG bond issuance may rise by 1.6%, while US$- priced high-yield bond issuance may increase by 7.5%. Click here for Moodys Credit Outlook, our sister publication containing Moodys rating agency analysis of recent news events, summaries of recent rating changes, and summaries of recent research. Moodys Capital Markets Research, Inc. Weekly Market Outlook Contributors: David W. Munves, CFA 1.212.553.2844 david.munves@moodys.com John Lonski 1.212.553.7144 john.lonski@moodys.com Ben Garber 1.212.553.4732 benjamin.garber@moodys.com Njundu Sanneh 1.212.553.4036 njundu.sanneh@moodys.com Yukyung Choi 1.212.553.0906 yukyung.choi@moodys.com Irina Baron 1.212.553.4307 irina.baron@moodys.com Franklin Kim 1.212.553.4419 franklin.kim@moodys.com Xian (Peter) Li 1.212.553.1404 Xian.li@moodys.com Moody's Analytics/Europe: Tomas Holinka +420 ( 221) 666-384 Tomas.holinka@moodys.com Moody's Analytics/Asia-Pacific: Jack Chambers +61 (2) 9270-8118 Jackchambers@moodys.com Emily D...

  
Source:
Document ID
PBC_194493
Report Type
Market Outlook
Format:
PDF Adobe Acrobat
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Sections

TitleStarting PageNumber of Pages
The Week Ahead11
The Long View11
Ratings Round-Up by Ben Garber and Njundu Sanneh11
Aggressive Financial Policy Leads to Downgrades.11
Market Data11
Moody s Capital Markets Research recent publications11
Weekly Market Outlook Contributors:11
Credit Markets Review and Outlook23
  VIX Index and high-yield EDF metric differ on risk21
  Modest profits growth favors a higher VIX Index32
The Week Ahead US, Europe, Asia-Pacific510
  THE US51
    Friday, February 2451
  New Home Sales January51
  University of Michigan Consumer Sentiment February Final51
    Monday, February 2751
  Durable Goods Orders January51
  Pending Home Sales Index January51
    Tuesday, February 2851
  S&P CoreLogic Case-Shiller Home Price Index December61
  Conference Board Consumer Confidence February61
    Wednesday, March 161
  Personal Income &Spending January61
  ISM Manufacturing Index February61
  Construction Spending January61
  Vehicle Sales February61
    Friday, March 371
  ISM Non-Manufacturing Index February71
  EUROPE71
    Friday, February 1781
  U.K.: Retail Sales (January; 9:30 a.m. GMT)81
    Monday, February 2081
  Spain: Foreign Trade (December; 9:30 a.m. GMT)81
    Tuesday, February 2181
  France: Consumer Price Index (January; 8:15 a.m. GMT)81
    Wednesday, February 2291
  Euro Zone: Consumer Price Index (January; 10:00 a.m. GMT)91
    Thursday, February 2391
  Germany: GDP (Q4; 8:00 a.m. GMT)91
  Germany: Retail Sales (January; 8:00 a.m. GMT)91
  Italy: Retail Sales (December; 9:00 a.m. GMT)91
  U.K.: GDP Expenditure Breakdown (Q4; 9:30 a.m. GMT)101
    Friday, February 24101
  Asia-Pacific101
    Friday, February 24101
  South Korea Consumer Sentiment Index February101
  Singapore Industrial Production January101
    Monday, February 27111
  Hong Kong Foreign Trade January111
  Thailand Industrial Production January111
    Tuesday, February 28111
  New Zealand Foreign Trade January111
  Japan Industrial Production January111
  Japan Retail Sales January111
  Australia Balance of Payments 2016Q4111
  Japan Housing Starts January111
  Thailand Private Consumption January121
  Thailand Foreign Trade January121
  India GDP 2016Q4121
    Wednesday, March 1121
  South Korea Foreign Trade February121
  Australia GDP 2016Q4121
    Thursday, March 2131
  South Korea Industrial Production January131
  South Korea Retail Sales January131
  Australia Foreign Trade January131
    Friday, March 3131
  South Korea Consumer Price Index February131
  Japan Consumer Price Index January131
  Japan Employment Situation January131
  Japan Household Expenditures Survey January131
  Malaysia Foreign Trade January141
  Japan Consumer Confidence February141
The Long View155
  Credit spreads151
  The recent high-yield bond spread of 384 bp is less than what is predicted by the spread s macroeconomic drivers and the high-yield EDF metric, but it is wider than what might be inferred from a now below-trend VIX index. The implications for liquidit...151
  Defaults151
  US CORPORATE BOND ISSUANCE151
  US Economic Outlook161
  EUROPE162
  Asia Pacific182
Ratings Round-Up201
Ratings Round-Up201
Ratings Round-Up211
Market Data224
Moody s Capital Markets Research recent publications263

Table Of Contents

Moody's Capital Markets Research—Moody's Analytics offers research, unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management.

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Cite this Report

  
MLA:
Moody's Capital Markets Research. "Low VIX and Thin Spreads Could Be on Thin Ice (Capital Markets Research)" Feb 24, 2017. Alacra Store. May 16, 2024. <http://www.alacrastore.com/storecontent/Moody-s-Capital-Markets-Research/Low-VIX-and-Thin-Spreads-Could-Be-on-Thin-Ice-Capital-Markets-Research-2141-3218>
  
APA:
Moody's Capital Markets Research. (2017). Low VIX and Thin Spreads Could Be on Thin Ice (Capital Markets Research) Feb 24, 2017. New York, NY: Alacra Store. Retrieved May 16, 2024 from <http://www.alacrastore.com/storecontent/Moody-s-Capital-Markets-Research/Low-VIX-and-Thin-Spreads-Could-Be-on-Thin-Ice-Capital-Markets-Research-2141-3218>
  
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